CAS Exam 7 Spring 2016, Question 1
Study guide: Exam 7
Given the following information:
| Accident Year | Cumulative Loss Payments, 12 Months | Cumulative Loss Payments, 24 Months | Cumulative Loss Payments, 36 Months |
|---|---|---|---|
| 2013 | 1,500 | 2,700 | 3,450 |
| 2014 | 1,600 | 2,740 | |
| 2015 | 1,700 |
- Exposures and premium are constant across all accident years.
- There is no development beyond 36 months.
Part a (2 points)
Calculate the total reserve indication as of December 31, 2015 using loss-ratio based payout factors and the Benktander method.
Part b (0.75 points)
Calculate the fifth-iteration Benktander method reserve indication for accident year 2015.
Part c (0.75 points)
Assuming Var[U_i] = Var[U_i^{BC}], use Hürlimann's method for optimal credibility and minimum variance to calculate the reserve indication for accident year 2015.
Answer this question and see the worked solution