Читать книгу Pricing Insurance Risk - Stephen J. Mildenhall - Страница 58

1 Define a risk and a financial risk.

2 Define and distinguish between timing and amount uncertainty, volume, and volatility, process risk and uncertainty, an insurance risk and a speculative risk, a diversifiable and nondiversifiable risk.

3 Define and give examples of systemic risks and distinguish them from systematic (nondiversifiable) risks.

4 Differentiate between objective and subjective probabilities.

5 Distinguish between process risk and uncertainty and parameter risk.

6 Define a catastrophe risk in an insurance context.

7 Define and identify the explicit, implicit, and dual implicit representations of risk.

8 Create a Lee diagram from a sample of losses or a loss distribution or a loss random variable.

9 Identify expected losses, excess losses, limited losses, put and call values, insurance charge and insurance savings, and policyholder deficit on a Lee diagram.

10 Compute expected losses, excess losses, limited losses, put and call values, insurance charge and insurance savings, and policyholder deficit given a distribution function.

11 Explain how put call parity is the same as insurance savings plus expense equals entry plus loss.

12 Explain and use different expressions for calculating the mean E[X].

13 Compute expected losses from a random variable, a density or probability mass function, a distribution function or a survival function. Relate the expressions to different stochastic models of risk.

14 Define a risk preference and a risk measure and explain the connection between the two.

15 Characterize risk measures by their sensitivity to volume, volatility, and tail risk.

16 Explain the two principal insurance applications of risk measures, to pricing and capital.

17 Explain how a risk measure can be used to determine premium or capital and to evaluate them.

18 Explain the term determine premium.

19 Explain seven different ways that expected value can be extended to create a risk measure.