B.01.Lee
Card Set Information
Author:
Exam8
ID:
162744
Filename:
B.01.Lee
Updated:
2012-08-14 13:10:34
Tags:
Premium prospective retrospective trend pure rating
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Description:
The mathematics of excess of loss coverage and retrospective rating - A graphical approach
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Graphical representation of E(X)
Layers method to price ded & limit
ILFs vs frequency
frequency does not matter for ILFs
ILFs properties
I(k)
is increasing at a decreasing rate
Miccolis consistency test
: marginal P should decr as limit decr
Inflation vs XS loss
Excess PP ratio
φ(r)
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
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)
Use of
φ(r)
and
Ψ(r)
for ratro rating
Retro rated policies w per accident limit
F* ~ A* / E
loss elimination ratio =
k = (E - A*) / E