SOA Exam FAM Sample Question 85
Study guide: Exam FAM
For the workers' compensation claims of a construction company you are given:
i) The annual number of claims follows the Poisson distribution with mean 20.
ii) Claim sizes X follow the lognormal distribution with \mu = 4.2 and \sigma = 1.1.
iii) The company retains the first 500 of each claim.
iv) Annual aggregate retained claims approximately follow the normal distribution.
v) E\left[\left(X \wedge 500\right)^2\right] = 26{,}189
Determine the 90th percentile of the aggregate distribution of retained claims.
- A) Less than 2900
- B) At least 2900, but less than 3100
- C) At least 3100, but less than 3300
- D) At least 3300, but less than 3500
- E) At least 3500
Answer this question and see the worked solution