B.01.Lee

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1. Graphical representation of E(X) 2. Layers method to price ded & limit
• • 3. ILFs vs frequency
• • frequency does not matter for ILFs
4. ILFs properties
• • • • I(k) is increasing at a decreasing rate
• Miccolis consistency test: marginal P should decr as limit decr
5. Inflation vs XS loss 6. Excess PP ratio φ(r) 7. Properties of φ(r) and Ψ(r)
• φ'(r) = -G(r) and φ''(r) = -f(r)
• charge is decreasing at a decreasing rate
• Ψ'(r) = F(r) and Ψ''(r) = f(r)
• savings increase at an increasing rate
8. Interpretation of Ψ(r) = φ(r) + r - 1
• If we charge rE(X) we lose (1-r)E(X)
• (1) φ(r) = insured loss above r
• (2) Ψ(r) = savings from losses below r
• For a correctly priced policy, r = 1 and φ(r) = Ψ(r)
9. Use of φ(r) and Ψ(r) for ratro rating 10. Retro rated policies w per accident limit
• F* ~ A* / E
• loss elimination ratio = k = (E - A*) / E
 Author: Exam8 ID: 162744 Card Set: B.01.Lee Updated: 2012-08-14 17:10:34 Tags: Premium prospective retrospective trend pure rating Folders: Description: The mathematics of excess of loss coverage and retrospective rating - A graphical approach Show Answers: