Siewert

Card Set Information

Author:
Esaie
ID:
33919
Filename:
Siewert
Updated:
2010-09-10 23:01:33
Tags:
Exam6 by Esaie
Folders:

Description:
Exam6 by Esaie Siewert
Show Answers:

Home > Flashcards > Print Preview

The flashcards below were created by user Esaie on FreezingBlue Flashcards. What would you like to do?


  1. Advantages of high ded pgm
    • Price flexibility while passing add'l risk to large insd
    • Ameliorating onerous residual mkt charges
    • Cash flow advantages
    • Another vehicle to control losses
    • Allowing "self-insurance"
  2. Loss ratio approach for high ded pgms
    • Definitions
    • P = Premium
    • E = ECR
    • χ = per occurence charge
    • ϕ = per aggregate charge
    • Concept
    • Total loss = PE
    • Excess loss = PEχ
    • Aggregate loss charge = PE(1 - χ)ϕ
    • When does it work
    • + consistenlty tied to pricing
    • + benefits from its reliance on a more credible pool of cpies
    • - ignores actual emerging experience (not useful late maturities)
    • - may not not properly reflect accnt characteristics
  3. Implied dvpmt approach for high ded pgms
    • Develop full coverage losses
    • Develop deductible losses
    • Determine XS losses by differencing
    • + provides estimate of XS loss at early maturities
    • + more stable
    • - does not explicitly recognize XS loss dvpmt
  4. Direct dvpmt approach for high ded pgms
    • Explicitly focus on XS dvpmt
    • + uses XS loss experience directly
    • - quite leveraged, extremely volatile
    • - no estimate when XS losses have not emerged
  5. Cred technique for high ded pgms
    • Ult L = Rpt * LDF * Z + Exp Ult * (1 - Z)
    • Z = 1 / LDF least to BF viewpoint
    • + allows to determine liabilities either directly or inder
    • + tie into pricing estimates
    • + more stable
    • - ignores actual experience to extent of compl of cred
  6. Dvpmt model for high ded pgms
    • LDFL = LDF ΔRL
    • XSLDFL = LDF Δ(1 - RL)
    • LDFt = RtL * LDFtL + (1 - RtL) * XSLDFtL
    • where R = severity relativity, L - ded limit
  7. Service revenue
    • Determine ultimate ded losses
    • Substract ult losses XS of aggregate limit
    • Apply selected loss multiplier
    • Determine total asset by substracting recoveries

What would you like to do?

Home > Flashcards > Print Preview