CAS Exam 7 Spring 2016, Question 5
Study guide: Exam 7
Given the following information:
| Accident Year | Age-to-age Factor, 12-24 Months | 24-36 Months | 36-48 Months | 48-60 Months | 60-72 Months |
|---|---|---|---|---|---|
| 2008 | 1.324 | 1.127 | 1.065 | 1.025 | 1.012 |
| 2009 | 1.313 | 1.127 | 1.058 | 1.027 | |
| 2010 | 1.344 | 1.135 | 1.070 | ||
| 2011 | 1.340 | 1.134 | |||
| 2012 | 1.344 |
Var[Z] = 1.125, whereZis the calendar year effect test statistic developed by Mack.z-value for the 95th percentile of the normal distribution: 1.645
Part a (2 points)
Using the procedure shown by Mack, test the null hypothesis that the triangle does not exhibit calendar year effects at the 90% confidence level.
Part b (0.25 points)
Identify one internal company action that can cause calendar year effects in a loss development triangle.
Answer this question and see the worked solution