CAS Exam 8 Fall 2012, Question 9
Study guide: Exam 9
The following exceedance probability curve is available for an insurer's portfolio:
Part a (0.25 points)
Briefly explain what an exceedance probability curve represents.
Part b (0.5 points)
The insurer wants to hold capital to support a 1 in 25 year Probable Maximum Loss (PML). Determine the loss level associated with this PML implied by the exceedance probability curve above.
Part c (0.75 points)
Briefly discuss three common uses for exceedance probability curves.
Answer this question and see the worked solution