4.5 Past Exam Questions

Concepts

• 2011 #3 b: CL method assumptions

• 2012 #5: CL assumptions and whether they are met

• 2014 #2: CL assumptions on intercept and residuals

• \(\star\) 2014 #4 b: Related to both Venter and Mack CL LS assumptions

• TIA 1: Mack’s 3 assumptions

• TIA 3b: Cause of CY trend

• TIA 6c: Shortcomings of the empirical LDF method for range

• TIA 8b: Assumption being test with adj ldfs test

• \(\star \star\) TIA 13: Clark vs Mack assumptions

  • Clark’s variance proportional constant is to the whole triangle (constant the same for the entire triangle)

Assumption test

• \(\star\) 2011 #3 a (fig 4.2): CY Test

• 2012 #3: Residuals test

• 2013 #1: CY test and potential cause

• \(\star\) 2014 #4 a (fig 4.3): Adjacent LDFs correlation test

  • From Venter

• 2015 #3: Residuals test and plot, remember to label them

• 2015 #4: CY Test

• 2016 #5: CY Test and potential reasons

• \(\star \star\) 2016 #6: LDF correlation test

  1. From Venter

  2. Spearman’s \(T\) for the whole triangle

  3. \(\star\) Why test adjacent of whole triangle

• 2016 #7: Residual test

• \(\star\) TIA 3a: (fig 4.4): CY test

• TIA 7: Residual graph under different variance assumptions

  1. \(\star\) Residual graph for age 36 under Mack variance

     • Note that you need 24-36 LDF and the plot is based on losses @ 24

  2. \(\star\) Residual graph under the LS variance assumption

• \(\star\) TIA 8a: Adjacent LDF test

• \(\star\) TIA 9: CY trend, with 90% CI (1.65)

• TIA 11: Adj LDF corr test and know what the conclusion is if they are outside of the CI

Calclulation

• \(\star\) 2011 #8: MSE calc

• TIA 2: simple average LDF and reserve calc (given the variance of loss)

• TIA 4:

  1. Reserve with weighted vol. average

  2. \(\star\) Lognormal CI

• \(\star \star\) TIA 5: full MSE calculation

• \(\star\) TIA 6:

  1. Applying the CI

  2. Empirical LDF method for upper bound

• \(\star \star\) TIA 10:

  1. 1-in-20 upper bound reserve

     • Test to use normal or log normal CI

  2. Allocation by trial and error

• \(\star\) TIA 11: MSE Calc

4.5.1 Question Highlights

Figure 4.2: 2011 Question 3

Figure 4.2: 2011 Question 3

Figure 4.3: 2014 Question 4

Figure 4.3: 2014 Question 4

Figure 4.4: TIA Question 2a

Figure 4.4: TIA Question 2a