Term
Kreps Marginal Standard Deviation
Risk Load |
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Definition
=yz/(1+y) *(S'-S)
where
- y=target return on capital
- z = standard deviations set
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Term
Marginal Variance Risk Load
Meyer |
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Definition
= λ*(Var(n) +2Cov(L,n))
Typically choose λ s.t. = Marginal SD
λ=[yz/(1+y) ]/
SD of (L+N)
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Term
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Definition
| Risk loads shouldn't change upon renewal. MS underestimates and MV overestimates load. MV double counts the COV. |
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Term
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Definition
Marginal Risk upon renewal - X= Var(X) + COV(X,Y) and
Y= Var(Y)+COV(X,Y) |
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Term
| Generalized Covariance Share Method |
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Definition
Shapley is 50-50 share
better to select Wx and (1-Wx) depending on risk. |
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Term
| Generalized Weights calculation |
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Definition
| Use the relative weights by event loss - if Event Loss (X) = 90 and Event Loss (Y) = 10 , the X gets 90% of the shared covariance of the Event |
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