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ed999
11-03-2005, 10:15 PM
what did everyone get for that risk margin? i took a big big guess and put down i think.125??

for part B it seemd too easy for a 1.5 pter... did you just use

ELC / (1- Comm - GE - Tax + II )

ELC is for terr B only.

Avi
11-03-2005, 10:18 PM
I really did not know for part a. I basically took the ratio of the risk load to the variance for Non-Hurr and multiplied it by the Hurr variance. Dead wrong, I'm sure, but I didn't even remember studying that :oops:

For b, I agree, but specifically noted that I was treating general expenses as variable (remember McClenahan from Part 5? :wall: )

islas_del_maiz
11-03-2005, 10:19 PM
I think also add the risk margin to the ELC, before back out the expenses.

Jack Divine
11-03-2005, 10:21 PM
The numbers looked too pretty for StDev for me too ignore, even though I remember using CV in my practice problems (I got a risk load of 44,xxx% using that, which can't be right). I took absoluate hurricane risk margin = [SdDev (hurr) / StDev (non-hurr)] x non-hurr absolute risk margin, then divided by the hurricane mean. I think my number ended up somewhere around 50%, +/- 10%.

Jack Divine
11-03-2005, 10:23 PM
For part B, I thought that fixed expenses are supposed to be excluded to avoid double-counting. I also ignored investment income, for no particular good reason except possibly to lose some points. Also, I think you need to add the risk load in.

lee
11-03-2005, 11:40 PM
what did everyone get for that risk margin? i took a big big guess and put down i think.125??

for part B it seemd too easy for a 1.5 pter... did you just use

ELC / (1- Comm - GE - Tax + II )

ELC is for terr B only.

I think for the part b, do we need to load the risk margin in the Rate?

Rate =ELC*(1+P)/(1-A-GE-T+II), where P is the risk margin as % of mean, the risk margin is the answer from part a....

GefilteFish144
11-04-2005, 07:22 AM
I think for the part b, do we need to load the risk margin in the Rate?

Rate =ELC*(1+P)/(1-A-GE-T+II), where P is the risk margin as % of mean, the risk margin is the answer from part a....

That's what I did. Really didn't study this much till the last night cram session -- glad I did.

HankMorgan
11-04-2005, 08:54 AM
I think the Walters paper said the risk margin varies with the standard deviation. So I took JD's approach, ended up with risk margin of around 53%.

Then also did "ELC * (1 + P) / ...", where P was 53% from part a, but can't remember my final answer...something around \$2?

GefilteFish144
11-04-2005, 09:04 AM
I think the Walters paper said the risk margin varies with the standard deviation. So I took JD's approach, ended up with risk margin of around 53%.

Then also did "ELC * (1 + P) / ...", where P was 53% from part a, but can't remember my final answer...something around \$2?

While these exam problems have little to do with real life, I think that any examiner designing a problem with a 53% risk margin would have to be a true moran. But with the CAS you never know....

lee
11-04-2005, 11:53 AM
While these exam problems have little to do with real life, I think that any examiner designing a problem with a 53% risk margin would have to be a true moran. But with the CAS you never know....

Somehow, I think the risk margin they ask is the risk margin as percent of mean, do you remember the process? I calculated the CV first...

cas_student
11-04-2005, 12:17 PM
A large risk load makes sense to me for hurricane losses. Often the expected losses may be low, so accounting for the variability is the bulk of the charge.

KindGrind
11-04-2005, 01:30 PM
for non-hurricane losses, the risk margin as a percentage of the mean was 2.5%.

So the risk margin for the hurricane was = risk margin NH * CV hurricane / CV non-hurricane = something around 52-53%

ramanujan
11-04-2005, 02:25 PM
I remember getting the hurricane risk margin close to 51%. This is not surprising, in an example in the actual reading the the hurricane risk margin is 131%, if I remeber correctly.

Agree with the formula for part b, Rate =ELC*(1+P)/(1-A-GE-T+II). Although I used the overall base class loss cost instead of terr B, so I will lose some.