Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Kindly help me to obtain accurate solutions for the following questions.Thank you The table below shows the cumulative incurred claims by year for a portfolio

Kindly help me to obtain accurate solutions for the following questions.Thank you

image text in transcribedimage text in transcribed
The table below shows the cumulative incurred claims by year for a portfolio of general insurance policies, with all figures in fm. Claims paid to date total 13.5. The ultimate loss ratio is expected to be in line with the 2013 accident year, and claims are assumed to be fully developed by the end of Development Year 3. Development Year Accident Year 2 3 Earned Premiums 2013 3.01 3.38 1.85 4.00 4.32 2014 3.30 3.67 4.15 4.41 2015 3.32 3.86 4.55 2016 3.74 4.68 Calculate the total reserve required to meet the outstanding claims, using the Bornheutter-Ferguson method. [9] For three different risks, an actuary is modelling the monthly claim numbers with three different Poisson distributions. Risk Exposure Number of claims Risk 1 36 months 20 Risk 2 30 months 18 Risk 3 24 months 16 (1) Derive the maximum likelihood estimates of the parameter for each of the three individual Poisson distributions fitted. [5] (ii) Test the hypothesis that the three risks have the same monthly claim rate. [5] [Total 10]Consider the following probability density function: h(x) =me"* x>0 (i) Ect out an algorithm for sampling from A(x) using the inverse transform method. [3] Now also consider the following density function, the "half-normal" distribution: ,x30 OVI Let M be the maximum of f(x) hix) (ii) Show that M = . [2] (iii) Set out an acceptance-rejection algorithm, using A(x), which generates samples from the half normal distribution /(x). 137 (iv) Determine the value of 2. for which the algorithm is the most efficient fie. on average require fewest samples from h(x) to generate samples from /(x)). [3] (V) Show that the samples from part (ili) can be used to generate samples from the normal distribution with mean p and variance o. [3] [Total 14]

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

The Ethics Of The New Economy Restructuring And Beyond

Authors: Leo Groarke

1st Edition

1554586933, 9781554586936

More Books

Students also viewed these Economics questions

Question

Explain the concept of shear force and bending moment in beams.

Answered: 1 week ago