Barnett & Zehnwirth

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Author:
Esaie
ID:
26147
Filename:
Barnett & Zehnwirth
Updated:
2010-07-09 16:15:26
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Exam6
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  1. 6 Advantages to Probabilistic Trend Family
    • 1. Allows separation of parameter uncertainty and process variance
    • 2. Check that assumptions in model are satisfi ed by the data
    • 3. Calculate distributions of reserve forecasts
    • 4. Calculate distributions, and correlations between, future payment streams
    • 5. Price future underwriting years, including aggregate deductibles and excess layers
    • 6. Easily update models and track forecasts as new data arrive
  2. 4 Components of Interest in Probabilistic Trend Family
    • 1. Development period trend
    • 2. Accident period trend
    • 3. Payment/calender year trend
    • 4. Distribution of the data about the trends
  3. Assumptions of Extended Link Ratio Family Model
    • 1. The standardized errors are normally distributed
    • 2. E(y|x) = bx or the mean cumulative aj = cumulative j-1 times b

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