Exam MAS-I Practice Question 72
Study guide: Exam MAS-I
An actuary examines four large samples of claim sizes, one from each of four lines of business. For each, match what the data show to the severity family that best explains it. An option may be used more than once or not at all.
Part a (1 point)
The empirical mean excess loss rises in a straight line as the threshold increases, by about 0.5 for each unit increase in the threshold.
- A) Exponential
- B) Gamma with shape greater than 1
- C) Weibull with shape less than 1
- D) Pareto
- E) Lognormal
Part b (1 point)
A plot of \ln\big[-\ln S_n(x)\big] against \ln x, where S_n is the empirical survival function, is close to a straight line with slope 0.6.
- A) Exponential
- B) Gamma with shape greater than 1
- C) Weibull with shape less than 1
- D) Pareto
- E) Lognormal
Part c (1 point)
The empirical mean excess loss is roughly the same at every threshold.
- A) Exponential
- B) Gamma with shape greater than 1
- C) Weibull with shape less than 1
- D) Pareto
- E) Lognormal
Part d (1 point)
The empirical hazard rate rises with claim size and then levels off, and the mean excess loss falls toward a constant as the threshold grows.
- A) Exponential
- B) Gamma with shape greater than 1
- C) Weibull with shape less than 1
- D) Pareto
- E) Lognormal
Answer this question and see the worked solution
Concepts tested
- Severity Distribution
- Mean Excess Loss
- Hazard Rate
- Exponential Distribution
- Gamma
- Weibull Distribution
- Pareto Distribution