Loss_Models

# Loss_Models - Corrections and comments for Loss Models From...

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Corrections and comments for Loss Models: From Data to Decisions , 3 rd edition Text Page 28, Exercise 3.16 Change the last sentence to “Determine the empirical skewness coefficient for a single claim.” Page 48, Example 3.17 The correct parameters for the Pareto model are 150 and 2.5. The Pareto numbers in Table 3.1 are 226.78, 796.44, and 2,227.34. Page 49, Example 3.18 Making the same adjustments as for the previous example: 1/ 1/2.5 1 1.5 ( ) (1 ) 1 150 (1 0.999) 1 2,227.34 150 ( ) 100 1 1.5 150 150 ( ) 1 1 98.4151 1 1.5 2,227.34 150 ( ) ( ) ( ) 2,22 1 pp p p p VaR X p EX E X E X TVaR X p           100 98.4151 7.34 3,812.24 0.001  Page 83, third line from bottom The derivative should be with respect to , that is ( ; ) Sx Page 98, Balkema de Haan Pickands Theorem The Theorem refers to distribution function 2, , d W  but that function was not defined. It is 2, , 1 , 0 , 0, 0.

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## This note was uploaded on 03/15/2012 for the course STAT 479 taught by Professor Na during the Spring '10 term at Purdue.

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Loss_Models - Corrections and comments for Loss Models From...

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