CAS Exam 8 Fall 2013, Question 17

Study guide: Exam 8

In "Workers Compensation Excess Ratios: An Alternative Method of Estimation," Mahler discusses a method of estimating excess ratios using empirical data up to a certain truncation point and a fitted curve to handle larger loss sizes.

Part a (0.5 points)

Briefly discuss how to choose a truncation point for this method.

Part b (1 point)

Part of Mahler's method to handle larger loss sizes involves fitting a mixed Exponential-Pareto curve for estimating excess ratios. Evaluate the following alternative distributions in estimating excess ratios:

• Pareto curve only
• Mixed exponential – lognormal

No current syllabus covers this question; it is kept for the record.

Answer this question and see the worked solution

Concepts tested

• Severity Distribution
• Excess and Deductible Rating
• Truncation
• Lognormal Distribution
• Pareto Distribution

More questions from this set

• CAS Exam 8 Fall 2013, Question 16
• CAS Exam 8 Fall 2013, Question 18