SOA Exam FAM Sample Question 47
Study guide: Exam FAM
You are given:
(i) The number of claims follows a negative binomial distribution with parameters r and \beta = 3.
(ii) Claim severity has the following distribution:
| Claim Size | Probability |
|---|---|
| 1 | 0.4 |
| 10 | 0.4 |
| 100 | 0.2 |
(iii) The number of claims is independent of the severity of claims.
Calculate the expected number of claims needed for aggregate losses to be within 10% of expected aggregate losses with 95% probability.
- A) Less than 1200
- B) At least 1200, but less than 1600
- C) At least 1600, but less than 2000
- D) At least 2000, but less than 2400
- E) At least 2400
Answer this question and see the worked solution
Concepts tested
- Limited Fluctuation Credibility
- Full Credibility Standard
- Negative Binomial Distribution
- Aggregate Loss Model