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CAS Exam 9 Study Notes: Catastrophe Insurance Risk Loads
2019-04-16
I've uploaded my notes on Donal Mango's paper An Application of Game Theory: Property Catastrophe Risk Loads. The paper addresses the problem of determining a fair risk load for a catastrophe insurance account based on its degree of correlation with other accounts in the portfolio. Marginal methods have the problem that they are not renewal additive; that is, when the accounts renew, the total risk load does not equal the indicated risk load for the aggregate portfolio. Mango introduces a game-theoretic approach for allocating contributions to covariance among the various accounts in a manner that is renewal additive.
Keywords: Actuarial Science, Study Note, Exam 9