Bernegger

Question 1

Valid MBBEFD curve

Answer 1

G(0) = 0
G(1) = 1
G’(x) >= 0
G’‘(x) <= 0

Question 2

MBBEFD Curves

Answer 2

Calculate exposure at a given ratio to the MPL

Retains portion under x=AP/MPL
Cedes portion between x=(AP+Limit)/MPL and x=AP/MPL

Question 3

Swiss Re Curves

Answer 3

Subclass of MBBEFD curves
Restate for single parameter c
Common values
-c=0 dist. of total losses only
-c=1.5,2,3,4 Swiss Re curves Y1-4
-c=5 Lloyd’s curve

Question 4

Probability of Total Loss

Answer 4

p = 1/g

= G’(1) / G’(0)

=conditional prob at x=1

=just b if G is in form of only b

Question 5

Pure Risk Premium

Answer 5

aka Expected Loss

Question 6

Bernegger Method

Answer 6

1. Calc risk premium by ELR*gross prem
2. Use exposure curve to split risk premiums between retained and ceded

Used for exposure rating non-proportional treaties