List of Errata

If you discover a mistake please email Steve at mynl@me.com.

Case Study Related

• Hu/SCS: reinsurance is applied on an aggregate basis, not occurrence as stated. It is calibrated using the occurrence loss distribution.
• CCoC/constant ROE natural allocations are incorrect.

All Other

• p. 24-5: line -1 and 1, Cat Hu is extremely skewed... though Cat Hu is thicker
• p. 64 line 2: Is corresponds s/b It corresponds. (JAM)
• p. 64 Figure 4.1 is created with $\sigma=0.5$ not 1 as claimed. (SJM)
• p. 88 algorithm step 6, s/b upper case $X_n$, not lower. (JAM)
• p. 93 line -3 should read: "...observe first that Pr(X ≥ x0) = 1-p_ is larger than it should be..." (not Pr(X ≥ x0) = p_) (SJM)
• p. 98 Exercise 72 part 2 should read CTE_p <= CTE^+_p <= TVaR_p. (AM)
• p. 101 Display equation line 3, drop $q(p)$; it is included in the integral. (JAM)
• p. 244, exercise 141 solution part 2 should $h(0.05) = 1-g(1-0.95) = 0.0203$, should say $h(0.05) = 1-g(1-0.05) = 0.0203$.
• p. 273 para above (11.2) s/b outcome-probability not event-outcome; after equation more natural than, not then. (SJ/JM)
• p. 277 Ex 185 item 5, s/b "What conditions on $p_0$, $p_1$, ... ". (JAM)
• p. 372 Penultimate displayed is an expression for d/da S_i bar not d/da S bar. I.e., add subscript i.
• p. 378 Eq (14.34) first line should read M bar = P_i bar - S_i bar, not L_i bar. (JAM)
• p. 380 line 2 should read beta_i(x) / alpha_i(x) > 1 > S(x) / g(S(x)), not g(S(x)) / S(x) which is always <= 1. (AB)
• p. 411 para 1, last sentence should read "Practical applications should..."