# 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
 Author: Esaie ID: 33915 Card Set: Pinto & Gogol Updated: 2010-09-11 02:15:19 Tags: Exam6 by Esaie Folders: Description: Exam6 by Esaie Pinto & Gogol Show Answers: