Hurlimann

Question 1

m_k

Answer 1

expected loss ratio in development period k, increm LR

sum of incremental paid over sum of prem

=E[sum(S_ik)]/sum(V_i)

Question 2

p_i

Answer 2

loss ratio payout factor

loss ratio lag-factor

proportion of total ult expected to be paid in development period n-i+1

pi = 1/CDF if given CDF

Question 3

ELR

Answer 3

sum(m_k)

Question 4

Collective LR claims reserve and burning cost

Answer 4

like BF, depends on portfolio claims experience

Question 5

Advantage of collective LR over BF

Answer 5

different people get same results provided they use same premiums

calc ELR directly from data so no subjectivity

Question 6

Individual LR claims reserve

Answer 6

like CL, depends on individual latest claims experience

Question 7

credibile LR claims reserve, GB, and Nehaus (WN)

Answer 7

Question 8

iterative ultimate and reserve formulas

Answer 8

Question 9

optimate credibility credibility weight

Answer 9

*weight that minimizes MSE for reserve

*WN tends to result in estimates closest to optimal cred weight

Question 10

fi and ti

Answer 10

fi=Var(Ui)/Var(Ui^BC)

ti = [(fi-1)+sqrt((fi+1)(fi-1+2pi))]/2