SOA GIADVGeneral Insurance — Advanced Topics

ILFs relative to a 100,000 basic limit are 1.45 at 500,000 and 1.70 at 1,000,000. The basic-limit loss cost is 2,000. Calculate the expected loss in the layer 500,000 excess of 500,000.

An occurrence exceedance probability (OEP) curve gives, for a given loss amount, the probability that:

Losses are exponential with mean 100,000. Show that a 10% severity trend increases expected losses in the layer 500,000 xs 500,000 by more than 10% (the leveraged effect of trend).

A retro-rated policy has basic premium 15,000, a loss conversion factor of 1.05, and converted losses computed from actual (unconverted) losses of 80,000, subject to a maximum premium of 120,000. Calculate the retro premium.

A bootstrap reserving model produces a mean unpaid claim estimate of 5,000 and a standard error of 1,000. Calculate the coefficient of variation of the reserve estimate.

Explain the difference between the process variance and parameter variance components of reserve variability, and why both are needed to construct a defensible reserve range.

Explain the difference in ALAE treatment between a 'pro rata' allocation and an 'ALAE included in the limit' treatment when pricing an excess-of-loss layer, and how each affects the expected cost of the layer.

In catastrophe model output, the average annual loss (AAL) is best described as:

Explain the purpose of Table M (insurance charge tables) in retrospective rating and why an entry ratio-based approach is used instead of directly modeling dollar losses.

Increased limits factors (ILFs) relative to a 100,000 basic limit are 1.30 at 250,000 and 1.55 at 500,000. The basic-limit loss cost is 3,000. Calculate the expected loss in the layer 250,000 excess of 250,000.