A2-A3-Part D,E, and F

[TwoStep]

Anyone know which of the three readings these knowledge statements are referring to?

d. Row-factor times column-factor models
e. Calendar-year effects in development factor models and in row-column factor models
f. Effect of trends and their interrelationship (e.g., calendar year, accident year, and development year trends)

Their either in Clark, Mack (1994), or Venter.

Thanks!

[Bobby]

I just read Venter and here is my guess as for how they apply to that paper:

(d):

Row-factor times column-factor models refer to how Venter defines models like the CL, BF, and CC. They use a row factor h(w) and column factor f(d). While intuitively these are the ultimate loss by AY and development factor by age, these do not necessarily have to be ultimate losses and LDF's. They could be any sort of factor, hence they are "row-factor" times "column-factor" models.

(e) and (f):

Venter explains how to test for calendar year effects and how to develop models which take into account calendar year trend, development age trend, and accident year trend. Namely, a model of the form = f(d) * h (w) * g(w+d), where d = development age, w = accident year, w+d = a calendar year (i.e. a diagonal in the triangle). Then he goes on to talk about how these can be written with development year inflation, calendar year inflation, and accident year inflation trend factors i, j, and k (see pages 836-837).

[Bobby]

For Mack 1994, there are tests for calendar year effects in the appendix.