CAS Exam 7 Spring 2015, Question 11
Study guide: Exam 7
An insurer is doing bootstrapping using a GLM with a log-link function and an over-dispersed Poisson error function on the following dataset of incremental reported loss values ($000).
| Year | Age 1 | Age 2 | Age 3 | Age 4 | Age 5 |
|---|---|---|---|---|---|
| 1 | 50 | 100 | 0 | 0 | 0 |
| 2 | 250 | 450 | 200 | 50 | 0 |
| 3 | 300 | 500 | 250 | -20 | 0 |
| 4 | 250 | 1,000 | 100 | -50 | |
| 5 | 300 | 500 | 250 | ||
| 6 | 350 | 400 | |||
| 7 | 300 |
Part a (0.25 points)
Identify an issue with the data that would cause model failure if left unadjusted.
Part b (0.5 points)
Identify two additional issues with the data that may impact modeling results.
Part c (0.75 points)
For each of the three issues identified in part a. and part b. above, briefly describe how the data might be adjusted to improve modeling results.
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