Increased Limits Ratemaking - Pamler

[fav1]

Increased Limits Ratemaking - Pamler, on Page 22, the Conditional Survival Probability at $20,000:

CSP (20,000|10,000) = P(X>20,000|X>10,000)

= [number of occurrances with X+AP>20,000, PL+AP>20,000 and AP<=10,000]/[number of occurrances with X+AP>10,000, PL+AP>20,000 and AP<=10,000]

I don't understand why the bolded items are X+AP> 20,000, instead of X>20,000

X = Occurrence Size
AP = attachment point
PL = policy limit

[2M]

Another word for attachment point is deductible

To capture losses greater than 20,000 in this context, you must be 20,000 greater than the attachment point, since the deductible losses are not reported

[AdoubledotAngleN]

If x = 5000 and ap=6000 this means that the group up loss size is 11,000 but only 5000 is observed by the insurer because of the attachment point.

[fav1]

Increased Limits Ratemaking - Pamler, on Page 22, the Conditional Survival Probability at $20,000:

CSP (20,000|10,000) = P(X>20,000|X>10,000)

= [number of occurrances with X+AP>20,000, PL+AP>20,000 and AP<=10,000]/[number of occurrances with X+AP>10,000, PL+AP>20,000 and AP<=10,000]

I don't understand why the bolded items are X+AP> 20,000, instead of X>20,000

X = Occurrence Size
AP = attachment point
PL = policy limit

So what exactly does X, Occurrence Size mean? Does it mean the observed value or the ground-up loss? If it means the observed value, then CSP (20,000|10,000) = P(X>20,000|X>10,000) should really be CSP (20,000|10,000) = P(X+AP>20,000|X+AP>10,000)

thanks.

[2M]

X is amount paid by the insurer

[GosuJohn]

Increased Limits Ratemaking - Pamler, on Page 22, the Conditional Survival Probability at $20,000:

CSP (20,000|10,000) = P(X>20,000|X>10,000)

= [number of occurrances with X+AP>20,000, PL+AP>20,000 and AP<=10,000]/[number of occurrances with X+AP>10,000, PL+AP>20,000 and AP<=10,000]

I don't understand why the bolded items are X+AP> 20,000, instead of X>20,000

X = Occurrence Size
AP = attachment point
PL = policy limit

I thought it was Palmer.

[fav1]

Yes, Palmer

[fav1]

Another question on this paper:
On page 24, it says "the payment lag weights represent the percentage of ground up occurences in each lag. Therefore, occurrences from policies with deductibles and occurrences from excess and umbrella policies are not included."

Why are they not included? What does this mean?

thanks a lot for helping!

[NewTubaBoy]

Another question on this paper:
On page 24, it says "the payment lag weights represent the percentage of ground up occurences in each lag. Therefore, occurrences from policies with deductibles and occurrences from excess and umbrella policies are not included."

Why are they not included? What does this mean?

thanks a lot for helping!

They're not included because of the way it's defined as the percentage of ground up occurences.

[fav1]

Say there is one ground up loss of 3000, and this policy has a 500 deductible, so the insurance company will pay 2500, let's assume it's paid in lag 0. Is the 2500 included in the lag 0 weight?

thanks

[NewTubaBoy]

Say there is one ground up loss of 3000, and this policy has a 500 deductible, so the insurance company will pay 2500, let's assume it's paid in lag 0. Is the 2500 included in the lag 0 weight?

thanks

It seems to me, no. However, I haven't spent a ton of time on this subject becuase I think it's a bit too complex to ask on the first time a paper is on the syllabus.