CAS Exam 7 Spring 2016, Question 6
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 |
|---|---|---|---|---|
| 2011 | 1.600 | 1.375 | 1.091 | 1.125 |
| 2012 | 5.000 | 1.100 | 2.000 | |
| 2013 | 2.833 | 1.588 | ||
| 2014 | 2.091 |
- Assume that
T = r\,[(n-2)/(1-r^2)]^{1/2} - The following table displays the
t-statistic for 0.9 at various degrees of freedom:
| Degrees of Freedom | 1 | 2 | 3 |
|---|---|---|---|
t-statistic |
6.314 | 2.920 | 2.354 |
Part a (2 points)
Using Venter's correlation test, determine whether the correlation between the pair of development factor columns (12-24 Months) and (24-36 Months) is significant at the 10% level.
Part b (1 point)
Calculate Spearman's rank correlation coefficient for the triangle as a whole.
Part c (0.5 points)
Briefly describe two reasons why it may be more appropriate to consider the correlation of a loss development triangle as a whole instead of correlations between pairs of columns.
Answer this question and see the worked solution