Exam 7

• Mack - Benktander - BENKTANDER METHOD
  • Benktander Method page 7
• Hurlimann - CREDIBILITY (INDIV, COLL)
  • Optimal Credibility Weights page 14
• Brosius - LEAST SQURES + BUHLMANN CRED
  • Least Squares Method page 16
  • Bayesian Credibility in a Changing System page 20
  • Caseload Effect page 22
• Friedland - REINSURANCE
  • Proportional Reinsurance page 25
  • Excess per Risk Reinsurance page 28
  • Per Occurrence and Catastrophe Excess page 31
  • Annual Aggregate Excess of Loss (Stop Loss) page 35
  • Projected Ultimate Loss with Catastrophe Adjustment page 39
  • Projecting Ultimate Loss page 42
  • Currency Exchange Rate Changes page 46
• Clark - LOSS EMERGENCE PATTERNS
  • Variance of Reserves (LDF Method) page 49
  • Variance of Reserves (Cape Cod Method) page 54
  • Normalized Residuals page 58
  • Variance of Prospective Losses page 61
  • Variance of Calendar Year Development page 63
  • Finding Best-Fit Parameters with MLE page 65
  • Variability in Discounted Reserves
• Mack - Chain Ladder - STOCHASTIC CHAINLADDER
  • Residual Test page 68
  • Calendar Year Test page 71
  • Reserve Confidence Interval page 74
  • MSE Calculation page 77
  • Overall Reserve MSE Calculation page 80
  • Correlation of Adjacent LDFs page 84
• Venter Factors - 6 TESTABLE IMPLICATIONS + SELLING A METHOD
  • Correlation of Development Factors page 87
  • Parameterized BF: f(d)h(w) - Constant Variance page 90
  • Parameterized BF: f(d)h(w)-Var prop f(d)h(w) page 93
  • Testing for Significantly High/Low Diagonals page 95
  • Goodness of Fit Test page 98
• Shapland - BOOTSTRAPPING SAMPLES
  • Expected Incremental Losses from GLM page 104
  • Standardized Pearson Residuals page 111
  • Heteroscedasticity Fix: Standard Deviation page 117
  • Heteroscedasticity Fix: Scale Parameter page 120
  • Multiple Models: Same Random Variables page 122
  • Multiple Models: Independent Variables page 124
• Siewert - HIGH DEDUCTIBLES
  • Loss Ratio Method page 126
  • Implied Development Method page 128
  • Direct Development Method page 130
  • Credibility Weighted Method page 132
  • Unlimited/Limited/Excess LDF Relationships page 135
  • Distributional Model page 138
  • Aggregate Excess of Loss Ultimate page 141
  • Aggregate Excess of Loss Ultimate: Table M page 143
  • Service Revenue Asset page 147
• Sahasrabuddhe - LDFs IN LAYERS
  • Determine LDFs at Basic Limits page 152
  • Calculate Layer LDFs from Basic Limit LDFs page 155
  • Calculate Layer LDFs from Basic Limit LDFs: Simplified Model page 158
• Teng & Perkins - RETROSPECTIVE RATING
  • PDLD Ratios - Empirical page 164
  • Premium Asset page 166
  • Cumulative to Incremental Loss Capping Ratios page 169
• Meyers - VALIDATING MODELS
  • p-p Plots & Histogram page 178
  • Interpret p-p Plots page 182
  • Kolmogorov - Smirnov (K-S) Test page 184
  • Correlated Chain-Ladder (CCL) Model page 187
  • Changing Settlement Rate (CSR) Model page 189
• Taylor - (?)
  • ODP Cross-Classified Model Parameters page 191
  • GLM Representation of Chain Ladder Models page 193
  • Re-Normalizing ODP Cross-Classified Parameters page 197
• Verrall - SPECIFY MODELS WITH EXPERT OPINION
  • Incorporating Expert Opinion: Chain Ladder page 199
  • Fully Stochastic BF Model (Gamma params) page 207
  • Estimated Reserve from Fully Stochastic BF page 211
• Marshall - RISK MARGINS
  • Risk Margin Calculation page 213
  • Internal Risk Balanced Scorecard page 217

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