CAS Exam 7 Spring 2015, Question 1
Study guide: Exam 7
Given the following information:
Incremental Paid Claims ($000)
| Accident Year | 0-12 Months | 12-24 Months | 24-36 Months | Earned Premium |
|---|---|---|---|---|
| 2012 | 2,400 | 1,000 | 400 | 5,000 |
| 2013 | 2,700 | 900 | 5,200 | |
| 2014 | 2,100 | 5,400 |
Part a (1.75 points)
Use the Neuhaus credibility weight to estimate the unpaid claim liability for accident year 2014 as a linear combination of R^{ind} and R^{coll}.
Part b (0.5 points)
Assuming that \text{Var}[U_i] = \text{Var}[U_i^{BC}] and using Hürlimann's method for optimal credibility and minimum variance, estimate the unpaid claim liability for accident year 2014.
Answer this question and see the worked solution