Direct Loss Development - Siewert

[IthinkIpassedcourse4]

When I tried to do the sample question 5, I had problems to get the age-to-ult xs of 250k. How is that number calculated?

In the all10, age-to-ult at unlimited, severity relativity at 250k and 1-severity at 250k are given. Then suddently, age-to-ult xs of 250k is listed below. Could anyone answer how?

[shtroumpf22]

I really hate this text! I had some problem with this exercice (as well with almost all sample question on this text, but here is what I think)

The formula is XSLDF L = LDF * (1-R L)/ (1-R Lt)
for 12 months: 1.772 * .097/.05 = 3.44
24 1.563* .097/.06 = 2.52
it is't exactly the all10 answer, but this number isn't well written... in page 228, 72-ult sev rel is .905, and in the solution (p242) it's .907!

Personally I had a LOT of trouble solving the sample question, exam question were lot easier.

[great3981]

Where in Seiwart do you find this formula?

For those who don't have All10, here are the numbers. It is on Fall 2005 All10 Page 242:

Calculation of xs 250k LDFs

Age to Ult LDFs Unlimited
12 - 1.772
24 - 1.563
36 - 1.384
48 - 1.247
60 - 1.146
72 - 1.041

Age to Ult LDFs 250
12 - 1.439
24 - 1.297
36 - 1.190
48 - 1.117
60 - 1.062
72 - 1.016

Severity relativity at 250k
12 - 0.95
24 - 0.941
36 - 0.931
48 - 0.922
60 - 0.913
72 - 0.903

All10s answer for xs 250k LDFs
12 - 3.241
24 - 2.537
36 - 1.940
48 - 1.540
60 - 1.266
72 - 1.041


I base my answer on Seiwart's formula on page 232, that says you weight together the limited LDF and XS LDF by the severity relativity to get the unlimited LDF, therefore 8.099 = (1.772 - .95 * 1.439) / (1 - .95).
great3981's answer for xs 250k LDFs
12 - 8.099
24 - 5.822
36 - 3.570
48 - 2.805
60 - 2.039
72 - 1.274

Why can't we use this? I know it is wrong, but things look right.

Thanks in advance...

[The Sad Man]

I'm also baffled why your method doesn't work, great3981. It seems to work on question 21 part c of the 2004 exam. I say drop it and move on unless someone with more insight can shed some light on the situation.