Home > Preview
The flashcards below were created by user
Esaie
on FreezingBlue Flashcards.

XS LDF uses
 Smooth underlying factors
 Generate XS dvpmt factors beyond 99 mos
 Generate XS dvpmt factors for other retentions

Translate AY LDF to PY LDF
AY LDF(Age) = PY(Age + 6 mos)

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

XS Paid loss and ALAE dvpmt
Pd_{x to y} = Rpt_{x to y} * (Pd to rpt_{y}/Pd to rpt_{x})

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
 q_{i/j} = single par pareto q at earlier/later age

Dvpmt factors by layer of ins
 e_{c,n} = f(c) / LDF_{c}
 LDF_{ult} = (f(c)  f(d))/(e_{c,n}  e_{d,n})
 LDF_{Basic,n} = (1  f(B)) / (1/LDF_{0,n}  f(B)/LDF_{B,n})

Accountspecific dvpmt
 Assumption: ratio of gross limit to retention are equal for both layers
 LDF = dc^{e} where
 c = x_{1}/k_{1}
 e = q_{i}  q_{j}
 d = LDF in first layer

