Exam MAS-I Practice Question 74

Study guide: Exam MAS-I

A reinsurer is comparing five candidate severity models for a large-loss layer. Their means differ widely, as shown.

• (A) Pareto with \alpha = 1.5 and \theta = 100 (mean 200)
• (B) Exponential with mean 5,000
• (C) Lognormal with \mu = 5 and \sigma = 1 (mean 244.69)
• (D) Weibull with \tau = 2 and \theta = 20{,}000 (mean 17,724.54)
• (E) Pareto with \alpha = 4 and \theta = 10{,}000 (mean 3,333.33)

Rank the models by the weight of their right tails, as measured by the limit of the ratio of survival functions as x \to \infty, from the lightest tail to the heaviest. Enter the letters with no spaces, e.g. ABCDE.

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Concepts tested

• Tail Weight
• Pareto Distribution
• Lognormal Distribution
• Weibull Distribution
• Exponential Distribution

More questions from this set

• Exam MAS-I Practice Question 73
• Exam MAS-I Practice Question 75