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cutenephew
04-10-2012, 08:20 PM
Does anyone know if the formula is to find the excess IBNR or the total ult excess losses?

In past yr exam 2004, #21 d, the BF credibility weighting is treated as weighting for Excess IBNR. However, if you look at 2011 exam #6b, the weighting is used as if it is weighting for the overall excess losses.

strand
04-12-2012, 08:04 AM
I don't think it matters. If you apply it to IBNR: Z*(UltA - Rep) + (1 - Z)*(UltB - Rep) = Z*UltA + (1 - Z)*UltB - Rep which is what you'd get if you applied it to ultimate losses and then subtracted reported losses to get IBNR.

cutenephew
04-12-2012, 07:30 PM
I don't think it matters. If you apply it to IBNR: Z*(UltA - Rep) + (1 - Z)*(UltB - Rep) = Z*UltA + (1 - Z)*UltB - Rep which is what you'd get if you applied it to ultimate losses and then subtracted reported losses to get IBNR.

Thanks, I think that makes sense. Maybe I made some errors when I was doing 2011 and the using two ways didn't come out exactly right.