6.9 Past Exam Questions

Reserve/variance Calculation

  • \(\star \star\) 2011 #2 (6.1): Cape Cod truncated and reserve CoV

  • 2012 #2: Cape Cod method and reserve CoV

  • \(\star \star\) 2013 #3 (6.2): LDF method, need to calc \(\sigma^2\) and normalized residuals

  • 2014 #3: \(\sigma^2\) calc

  • 2014 #5: plug and play LDF and Cape Cod method with Benktander

  • \(\star\) 2015 #2 (6.3): LDF Method and concept where if we switch to Cape Cod the CoV should go down as it incorporates additional information

  • \(\star\) 2016 #3: stdv for cape cod and LDF and why the \(\sigma^2\) is higher for LDF

  • TIA 1: Reserve with truncated loglogistic and given parameters

    1. Cape Cod

    2. LDF method

  • TIA 2: Weibull

    1. Cape Cod no truncation

    2. \(\star\) Process standard deviation

    3. Variance of incremental loss

  • TIA 3: Weibull

    1. LDF method reserve

    2. Loss reserve total standard deviation given parameter variance

    3. Note that we can not model triangle with negative development

Other calculation

  • TIA 4: Loglogistic with LDF method

    1. \(\star\)Log likelihood to test which parameters are better

      • Probably too long for exam, but good for checking my understanding

    2. Total reserve

  • \(\star\) TIA 7: given all parameters for cape cod; everything is mostly given but good to see how the calculation works

    1. CY paid

    2. Variance for the next CY paid

    3. Prospective AY expected loss and variance

  • TIA 8: Setup data for clark’s calculation

  • TIA 9: loglikelihood for cape cod compare (similar to TIA 4)

  • \(\star\) TIA 10: process variance, long calc for \(\sigma\), LDF method and Weibull

  • \(\star\) TIA 11: count average dates for quarterly

  • TIA 12: count average date for policy year

  • TIA 13: count average date for policy year with stuff in between 12 and 24

Concepts

  • \(\star \star\) 2016 #4b: appropriatness of using Cape Cod

  • TIA 5: Assumptions made that lead to the cape cod and LDF method

    • List the formula for the 2 methods

  • TIA 6: Advantages of Clark’s growth function method

6.9.1 Question Highlights

2011 Question 2

Figure 6.1: 2011 Question 2

2011 Question 2

Figure 6.1: 2011 Question 2

2013 Question 3

Figure 6.2: 2013 Question 3

2013 Question 3

Figure 6.2: 2013 Question 3

2015 Question 2

Figure 6.3: 2015 Question 2

2015 Question 2

Figure 6.3: 2015 Question 2