Читать книгу Pricing Insurance Risk - Stephen J. Mildenhall - Страница 27

Ins Co. writes two units taking on loss values X1=0, 8, or 10, and X2=0, 1, or 90. The units are independent and sum to the portfolio loss X=X1+X2. The outcome probabilities are 1/2,1/4, and 1/4, respectively, for each marginal. The nine possible outcomes, with associated probabilities, are presented in Table 2.2. The output is typical of that produced by a catastrophe, capital, or pricing simulation model—albeit much simpler.