Index
a
- adjustment coefficient
- adverse development cover (ADC)
- aggregate claim approximation
- asymptotic
- Bower’s gamma
- Edgeworth
- gamma
- Gram‐Charlier
- normal
- normal‐power
- orthonormal polynomials
- shifted gamma
- alternative risk transfer (ART)
- annual aggregate deductible (AAD)
- annual aggregate limit (AAL)
- approximation
- asymptotic
b
- best estimate
- bias
- burning cost
c
- capacity appetite limit (CAL) curve
- capital market
- captives
- catastrophe (CAT) bonds
- censoring
- chain ladder
- coefficient of extremal dependence
- coefficient of tail dependence
- coefficient of variation
- combined ratio
- compliance
- Conditional Tail Expectation (CTE)
- confidence interval
- contingent convertible bonds (CoCo)
- convolution
- copula
- cost of capital
- Cramér‐Lundberg model
- credibility
d
- dependence
- derivative plot
- log‐normal
- Pareto
- Weibull
- development time
- deviance
- explained
- scaled
- dispersion
- index of
- over‐
- parameter
- under‐
- distribution
- t
- aggregate claim
- asymptotic
- beta
- binomial
- Burr
- chi‐squared
- Delaporte
- empirical
- Engen
- equilibrium
- Erlang
- exponential
- extended Pareto
- extreme value
- first Benktander
- Fréchet
- gamma
- GB2
- general inverse Gaussian
- generalized Burr‐gamma
- generalized Pareto
- integrated tail, see equilibrium
- inverse Gaussian
- log‐gamma
- log‐logistic
- log‐normal
- log‐Pearson
- log‐t
- logarithmic
- logistic
- long‐tailed
- long‐tailed beta
- mixed Erlang
- mixing
- multivariate extreme value
- multivariate generalized Pareto
- multivariate mixed Erlang
- negative binomial
- normal
- one‐sided Cauchy
- one‐sided normal
- one‐sided t
- Pareto
- Paris‐Kestemont
- phase‐type
- Poisson
- power‐ratio‐gamma
- quasi‐log‐normal
- second Benktander
- shifted Pareto
- shifted Poisson
- Sichel
- strict Pareto
- sub‐exponential
- transformed gamma
- truncated Pareto
- uniform
- US‐Pareto
- Wakeby
- Weibull
- dynamic financial analysis
e
- EM algorithm
- empirical mean excess values
- equalization reserves
- Esscher transform
- estimator
- Asmussen‐Kroese
- bias‐reduced
- control variate Monte Carlo
- crude Monte Carlo
- endpoint
- extreme quantile
- generalized Hill
- Hill
- Kaplan‐Meier
- kernel
- kernel weighted likelihood
- large quantile
- local polynomial ML
- maximum likelihood
- moment
- Monte Carlo
- penalized likelihood
- quasi‐likelihood
- quasi‐Monte Carlo
- return period
- scale
- Turnbull
- unbiased
- weighted Monte Carlo
- Weissman
- excess‐of‐loss (XL)
- adverse selection
- attachment point
- Cat XL
- Cumulative
- deductible
- layer
- moment calculations
- multiline
- payback period
- per‐event
- priority
- rate on line
- reinstatements
- relative layer length
- retention
- unlimited
- Expected Shortfall (ES)
- experience rating
- exponential family
- exponential twisting
- exposure curve
- exposure rating
- extremal coefficient
- extreme value index (EVI)
f
- Fast Fourier Transform
- function
- auto‐correlation
- cumulant‐generating
- likelihood ratio
- link
- mean excess
- moment‐generating
- partial auto‐correlation
- probability generating
i
- IBNER
- IBNR
- increased‐limits‐factors (ILS) curve
- incurred loss
- independence
- industry loss warranty (ILW)
- inflation
- information criterion
- insurance securitization
k
- kurtosis
l
- Laplace exponent
- Laplace transform
- large claims
- limited liability
- loss degree
- loss development
- loss portfolio transfer
m
- max‐domain of attraction
- mean squared error
- memoryless property
- mixtures
- modelling
- generalized additive
- generalized linear
- multivariate
- non‐parametric
- parametric
- regression
- Monte Carlo
- conditional
- control variates
- crude
- importance sampling
- quasi‐Monte Carlo
- moral hazard
o
- objective function
- open‐case estimate see RBNS
- ordering
- convex
- stochastic dominance
- stop‐loss
p
- Panjer recursion
- payback tariff
- peaks‐over‐threshold (POT)
- peaks‐over‐threshold, multivariate
- premium
- distortion principle
- Esscher principle
- expected value principle
- expectile principle
- exponential
- mean value principle
- properties
- proportional
- pure
- risk‐adjusted principle
- safety loading
- standard deviation principle
- stop‐loss
- variance principle
- zero utility
- probable maximum loss (PML)
- process
- ARIMA
- branching
- claim counting
- Cox
- doubly stochastic Poisson
- generalized Poisson‐Pascal
- homogeneous Poisson
- infinitely divisible
- inhomogeneous Poisson
- intensity
- Lévy
- log‐zero Poisson
- mixed Poisson
- multivariate Cox
- nearly mixed Poisson
- Neyman‐type A
- Pólya
- Pólya–Aeppli
- Pascal see Pólya
- Poisson
- Poisson cluster
- Poisson‐beta
- Poisson‐gamma
- Poisson‐inverse Gaussian
- pure birth
- renewal
- SARIMA
- shot noise
- Sichel
- Sparre Andersen
- Yule
- profit
- proportional hazard transform
q
- Q‐plot
- exponential
- generalized
- log‐normal
- normal
- Pareto
- Weibull
- quasi‐Monte Carlo
r
- rare event simulation
- RBNS
- regression fit
- regular variation
- reinstatements
- reinsurance
- administration cost
- captives
- cedent
- change‐loss
- collateralized
- combining subportfolios
- combining treaties
- commission
- deductible
- Drop‐Down XL
- dynamic proportional
- dynamic reinsurance
- dynamic XL
- ECOMOR
- excess‐of‐loss
- facultative
- financial pricing
- finite risk
- large claim
- loss corridor
- maximizing expected utility
- mimizing ruin probability
- minimizing retained variance
- multi‐line
- multi‐trigger
- multi‐year
- non‐proportional
- obligatory
- pools
- proportional
- quota‐share
- reinsurance chains
- reinsured amount
- side‐cars
- sliding scale commission
- stop‐loss
- structured
- surplus
- transaction cost
- truncated stop‐loss
- unearned premium reserve
- reinsurance choice
- expected utility
- multi‐objective
- objectives
- regulatory ruin
- RORAC criterion
- ruin condition
- security level condition
- variance condition
- reporting delay
- reporting threshold
- retrocession
- return on risk‐adjusted capital (RORAC)
- return period
- risk
- aversion coefficient
- carriers
- catastrophic
- counterparty
- foreign exchange
- margin
- market
- measure
- model
- optimal sharing
- Pareto‐optimal sharing
- retention groups
- risk margin
- robustness
- ruin probability
s
- safety loading
- self‐insurance
- simulation see Monte Carlo
- skedasis function
- skewness
- slow variation
- solvency capital
- solvency capital requirement (SCR)
- special‐purpose vehicle (SPV)
- splicing
- splines
- spread loss treaties
- square root rate on‐line (ROL)
- stable tail dependence function
- subordinator
- gamma
- inverse Gaussian
- sum insured
t
- tail quantile function
- Tail‐VaR
- tails of distribution
- heavier than exponential (HTE)
- lighter than exponential (LTE)
- Pareto‐type
- test
- Kolmogorov–Smirnov
- likelihood ratio
- Shapiro–Wilk
- upper‐truncation
- theorem
- Blackwell
- Borch
- central limit
- thinning
- truncation
u
- ultimate loss
- utility function
v
- Value‐at‐Risk (VaR)
- variance
- variance reduction
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