CAS Exam MAS-II Spring 2019, Question 7
Study guide: Exam MAS-II
You are given:
- Claims follow a Poisson distribution with mean
\lambda. - The prior distribution of
\lambdafollows gamma distribution with\alpha = 4and\theta = 0.06. - Claims are independent and identically distributed between risks.
In Year 1, the following claim experience was observed for a portfolio:
| Cohort | Risks | Claim Frequency per Risk |
|---|---|---|
| X | 500 | 0.12 |
| Y | 300 | 0.20 |
| Z | 200 | 0.15 |
| Total | 1,000 | 0.15 |
In Year 2, the portfolio has the same number of risks.
Calculate the expected number of claims for the portfolio in Year 2 using the Bayesian approach.
- A) Less than 153
- B) At least 153, but less than 158
- C) At least 158, but less than 163
- D) At least 163, but less than 168
- E) At least 168
Answer this question and see the worked solution