CAS Exam 7 Spring 2014, Question 10
Study guide: Exam 7
Part a (0.5 points)
Within the context of a stochastic framework for loss reserving, briefly describe two types of expert opinion that can be used to override the calculated parameters in a predictive reserving model.
Part b (0.5 points)
Given the following parameters and means of three Gamma distributions:
\alpha_i |
\beta_i |
Mean |
|---|---|---|
| 30,000 | 12.00 | 2,500 |
| 3,000 | 1.20 | 2,500 |
| 300 | 0.12 | 2,500 |
Discuss how the \beta_i value influences the trade-off between the chain-ladder and Bornhuetter-Ferguson estimates in a Bayesian model.
Answer this question and see the worked solution
Concepts tested
- Bayesian
- Bornhuetter-Ferguson Method
- Chain Ladder Method
- Over-Dispersed Negative Binomial Model
- Bayesian Bornhuetter-Ferguson Model
- Stochastic Reserving