Pinto & Gogol

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Esaie
ID:
33915
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Pinto & Gogol
Updated:
2010-09-10 22:15:19
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Exam6 by Esaie
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Exam6 by Esaie Pinto & Gogol
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  1. XS LDF uses
    • Smooth underlying factors
    • Generate XS dvpmt factors beyond 99 mos
    • Generate XS dvpmt factors for other retentions
  2. Translate AY LDF to PY LDF
    AY LDF(Age) = PY(Age + 6 mos)
  3. Translate single line LDF vs subline LDFs
    • Say three sublines with tail factor = 1 + a/b/c
    • Compare to a single line with tail factor 1 + d
    • Isolate x in (a + b + c) * x / 3 = d
    • Adjusted factor for subline 1 is 1 + ax
  4. XS Paid loss and ALAE dvpmt
    Pdx to y = Rptx to y * (Pd to rpty/Pd to rptx)
  5. Single Parameter Pareto to estimate XS LDF
    • Model illustrates rpting pattern and chging char of size of loss
    • LDF = d(x/k)qi - qj where
    • d = excess LDF at lower retention
    • x = new retention
    • k = lower retention
    • qi/j = single par pareto q at earlier/later age
  6. Dvpmt factors by layer of ins
    • ec,n = f(c) / LDFc
    • LDFult = (f(c) - f(d))/(ec,n - ed,n)
    • LDFBasic,n = (1 - f(B)) / (1/LDF0,n - f(B)/LDFB,n)
  7. Account-specific dvpmt
    • Assumption: ratio of gross limit to retention are equal for both layers
    • LDF = dce where
    • c = x1/k1
    • e = qi - qj
    • d = LDF in first layer

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