List of Errata
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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..."