Poisson(𝜆)

θ θ2 α
e λ
−λ k E [ x ]= ,Var ( x )= M N (t )=¿
Pr ( N=k )= E [ N ]=Var [ N ] =λ α−1 ( α−1 )2 (α−2)
Log Normal(µ,,σ )
k!
λ(e −1) t
λ
FGP=e λ (t −1 ) , FGM=e , Pk = ∙ Pk −1 1 ( 2 )
−z
ln ( x )−μ
k
Bin (q, m)
f ( x )= e , z=
0<q<1 xσ √ 2 π σ

()
pk =P r ( N =k )= m q ( 1−q ) ( 2 )
2 2
k m−k k σ
kμ+ ln ( x )−μ
k E ( x )=e
k
, F ( x )=Φ( )
σ
( m−k +1 ) ∙ q Riesgo Individual
()
m = m!
, p k= ∙ pk −1
k ( m−k ) ! k ! k ( 1−q ) C i=monto de reclamaciones , Di Ber (qi )
E [ N ] =mq ,>Var [ N ] =mq ( 1−q ) n
E [ s ] =∑ q i E ( C i ) , Var ( D i) =q i ( 1−qi )
FGP=¿ ¿
BinN (𝛽, r)
i=1
n n
Var ( s )=∑ E ( C i ) Var ( D i) + ∑ Var ( Ci ) q i
2

)( ) ( )
k r

(
pk =P r ( N =k )= k +r−1
k
β
1+ β 1+ β
1
i=1 i=1

M s ( t )=E [ e ]=E [ e ]= ∏ E [ e( ∑ C i Di ) t
E [ N ] =βr ,<Var [ N ] =βr (1+ β )
st Ci Di t
]
( k + r−1 ) ∙ β 1 M s ( t )=1−q i [1−M Ci ( t ) ]¿
pk = ∙ pk−1 , FGM =
k ( 1+ β )
(√ θE(s)
)
r
[1−β ( e −1 ) ]
t
Φ =δ
β
k var (s)
Geo(β ) pk =P r ( N =k )= k+1
(1+ β )

Dist. Exponencial Truncada

β
E [ N ] =β ,Var [ N ] =β (1+ β ) , p k = ∙p
1+ β k−1

{
−x
1 0 x <0 θ
M N ( t )= −x e
[1− β ( e t −1 ) ] F ( x )= , f (x )=
1−e θ 0 ≤ x ≤ L θ
Exp(𝜃)
1 −x /θ − x/ θ 1 x≥ L
Teoría de la Utilidad u(x)
f ( x )= e , F ( x )=1−e
θ
E [ x k ]=θ k ∙ k ! , E [ x ] =θ , Var ( x )=θ2 ,
´´
´ u (x)
u ( x )> 0 ,Coef . aversion riesgo r ( x )= ´
1 u (x )
Desigualdad Jensen
M N ( t )=
1−θt
−x P=Prima max . dispuesta a pagar x=Perdida a .
x α −1 ∙ e θ π=Prima min . dispuesta a cobrar u=utilidad indi
Gamma ( α , θ ) f ( x )= α , Γ ( α )=( α −1 ) !
θ ∙ Γ (α) v=utilidad de compañia , w=monto riqueza
Γ ( α )=( α −1 ) ⋯ ( α −n ) Γ ( α −n ) E [ u ( x ) ] ≤ u ( E [ s ] ), E [ w−x ] =w−E [ x ]
∞
E [u ( w−x ) ]=u ( w− E [ x ] ) ,u ( w−P )=E [ u ( w−x ) ]
Γ ( α +1 )=α ∙ Γ ( α ) , Γ ( α )=∫ x
α −1 −x
e dx
0 v ( w )=E [ v ( w+ π−x ) ] , P ≥ π ≥ E( x)
E [ x k ]=θ k ( α +k −1 ) ⋯ ( α +k −k ) u ( w−P )= (1−q ) u ( w )+ qE [ u ( w−x ) ]
Función Exponencial
E [ x ] =αθ , E [ x 2 ] =θ2 ( α 2+ α ) , Var [ x ]=θ 2 α

( )
x
x/ θ
F ( x )=Γ ∝ , = ∫ t e dt M N ( t ) =¿
θ
α−1 −t u ( w )=−e
−αw
P=
ln ( M x ( α ) )
α
Función Potencia Fraccionaria
π=ln [ M x (α )
α ]
Pareto(𝛼,𝜃)
0
τ
u ( w )=W , P=w−E ¿ ¿
Función Cuadrática
( )
α α
α ∙θ θ
f ( x )= α +1
F ( x )=1−
(x+θ) x+θ
 2
u ( w )=w−∝ W
Función Utilidad Logaritmica
1
u ( x )=β log ( x ) , r ( x )=
x
Primas con deducible

{
Cliente= x x ≤ d , Asegur = 0 x ≤ d
d x> d {
x−d x >d
u ( w )=( 1−q ) u ( w−P )+ q [E [ u ( w−P−x ) ] + E [ u ( w−P−d ) ] ]
v ( w )=( 1−q ) u ( w+ π )+ q[ E [ v ( w+ π ) ] + E [ v ( w+ π −x−d ) ] ]
Primas con Coaseguro
Cliente=¿
u ( w )=( 1−q ) u ( w−P )+ qE[u ( w−P−c ∙ x )]
v ( w )=( 1−q ) u ( w+ π )+ qE[v ( w +π −( 1−c ) x ) ]
Primas con deducible y Coaseguro

Clie=
{d + c(xx x−d)
≤d
x >d
, Ase=
{ 0 x≤d
(1−c)(x−d) x> d
u ( w )=( 1−q ) u ( w−P )+ q [E [ u ( w−P−x ) ] + E [ u ( w−P−d−c ( x−d ) ) ] ]
v ( w )=( 1−q ) u ( w+ π )+ q ¿
Primas con Limite y Coaseguro

Clie=
{cL+(c ∙x−L)
x x≤d
x >d {(1−c) L x >d
, Aseg= ( 1−c ) x x ≤ d

u ( w )=( 1−q ) u ( w−P )+ q [E [ u ( w−P−c ∙ x ) ] + E [ u ( w−P−( x−L )−cL ) ] ]

Prima basada en riesgo
1
1 f (x) ρ
F de riesgo h~x ( x )= , s ~x ( x )=[s¿¿ x ( x ) ] ¿
p s (x)
∞
Prima de riesgo E [ ~
x ]=∫ s ~x ( x )
Principio Esscher
0

e ρx f x (x)
f ~x ( x ) =w (x)f x (x)= ∞
∫ e ρx f x ( x ) dx
0
ρx ρx
e e
w (x )= =
μ x (p) ∞
∫ e ρx f x ( x ) dx
0
∞

E[ xe ] 0
ρx ∫ x e ρx f x ( x ) dx
Prima de riesgo E [ ~
x ]= =
E[e ρx ] μ x ( p)