CAS Exam 5 Fall 2013, Question 22
Study guide: Exam 5
Given the following information:
Reported Losses Gross of Reinsurance ($000,000)
| Accident Year | Age 12 | Age 24 | Age 36 |
|---|---|---|---|
| 2010 | $20 | $40 | $60 |
| 2011 | $15 | $30 | |
| 2012 | $18 |
Reported Losses Net of Reinsurance ($000,000)
| Accident Year | Age 12 | Age 24 | Age 36 |
|---|---|---|---|
| 2010 | $16 | $32 | $30 |
| 2011 | $14 | $24 | |
| 2012 | $11 |
- Each accident year has a 20% quota share reinsurance treaty.
- Each accident year has an aggregate stop loss treaty attaching at $30 million applied after quota share.
- Assume the gross data is correct.
Part a (0.5 points)
Review the loss triangles above and briefly discuss whether the net data is reasonable based on both reinsurance treaties.
Part b (0.75 points)
Explain and justify an approach for estimating gross, ceded, and net ultimate claim estimates.
Part c (0.75 points)
Predict the relationship between the gross reported loss tail factor and the ceded reported loss tail factor. Explain the impact of both the quota share agreement and the stop loss agreement.
Answer this question and see the worked solution