exercise:Fb7ba6e962: Difference between revisions
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(Created page with "An actuary is establishing reserves for a group of policies as of December 31, CY3. You are given the following table of reserve estimates for AY1 and AY2: {| class = "table table-bordered" | rowspan="2" | <br> | colspan="3" | Reserve estimates as of December 31, CY3 |- | <math>R_{BF}</math> | <math>R_{LR}</math> | <math>R_{CL}</math> |- | AY1 | 400,000 | 250,000 | 437,500 |- | AY2 | 1,120,000 | 1,200,000 | ? |} where <math>R_{BF}</math> is the loss reserve under...") |
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where <math>R_{BF}</math> is the loss reserve under the Bornhuetter-Ferguson method, <math>R_{LR}</math> is the loss reserve under the Expected Loss Ratio method, and <math>R_{CL}</math> is the loss reserve under the Chain Ladder method. | where <math>R_{BF}</math> is the loss reserve under the Bornhuetter-Ferguson method, <math>R_{LR}</math> is the loss reserve under the Expected Loss Ratio method, and <math>R_{CL}</math> is the loss reserve under the Chain Ladder method. | ||
If <math>f_2</math> , the loss development factor from the paid-loss-development triangle at duration , equals 1.05, determine the reserve estimate as of December 31, CY3 using the expected loss ratio. | If <math>f_2</math> , the loss development factor from the paid-loss-development triangle at duration 2, equals 1.05, determine the reserve estimate as of December 31, CY3 using the expected loss ratio. | ||
Revision as of 13:46, 23 October 2024
An actuary is establishing reserves for a group of policies as of December 31, CY3. You are given the following table of reserve estimates for AY1 and AY2:
| Reserve estimates as of December 31, CY3 | |||
| [math]R_{BF}[/math] | [math]R_{LR}[/math] | [math]R_{CL}[/math] | |
| AY1 | 400,000 | 250,000 | 437,500 |
| AY2 | 1,120,000 | 1,200,000 | ? |
where [math]R_{BF}[/math] is the loss reserve under the Bornhuetter-Ferguson method, [math]R_{LR}[/math] is the loss reserve under the Expected Loss Ratio method, and [math]R_{CL}[/math] is the loss reserve under the Chain Ladder method.
If [math]f_2[/math] , the loss development factor from the paid-loss-development triangle at duration 2, equals 1.05, determine the reserve estimate as of December 31, CY3 using the expected loss ratio.