PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

WHY LARGER RISKS HAVE SMALLER INSURANCE CHARGES 127REFERENCES[1] Bertoin, Jean, Lévy Processes, Cambridge, U.K.: CambridgeUniversity Press, 1996, pp. 1—8, 187—214.[2] Feller, William, An Introduction to Probability Theory and ItsApplications Volume I, Third Edition, New York, NY: JohnWiley and Sons, 1968, Chapter XVII, pp. 444—482.[3] Gillam, W. R., “The 1999 Table of Insurance Charges,”PCAS LXXXVII, 2000, pp. 188—218.[4] Heckman, Phillip E. and Meyers, Glenn G., “The Calculationof Aggregate Loss Distributions from Claim Severity andClaim Count Distributions,” PCAS LXX, 1983, pp. 27—31.[5] Hewitt, Jr., Charles C., “Loss Ratio Distribution–A Model,”PCAS LIV, 1967, pp. 70—88.[6] National Council on Compensation Insurance, RetrospectiveRating Plan Manual for Workers Compensation and EmployersLiability Insurance, 2001.[7] Pittman, James W., “Levy Process and Infinitely DivisibilityLaw,” Lecture Notes, Lecture 26, Spring 2003.[8] Robbin, Ira, “Overlap Revisited: The Insurance Charge ReflectingLoss Limitation Procedure,” Pricing, CasualtyActuarialSociety Discussion Paper Program, 1990, Vol. II, pp.809—850.[9] Ross, Sheldon M., Stochastic Processes, Second Edition,New York, NY: John Wiley and Sons, 1996, pp. 41—162,356—403.