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Search: Posts Made By: Unrealistic Ace
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-19-2020, 08:25 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
I had wanted to get through with Brehm last week...

I had wanted to get through with Brehm last week (notes and all). Only made it through section 2 though. Needed a break from it and went back to review Section A. I'll pick Brehm back up next...
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-14-2020, 08:13 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Brehm, Chapter 2, page 72. Are the marginal...

Brehm, Chapter 2, page 72.

Are the marginal ROE calculated with an assumed tax rate of ~30%?
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-10-2020, 10:33 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
In Brehm, page 32, what is the constant c in the...

In Brehm, page 32, what is the constant c in the exponential moment formula:

E[e^{cY/E[Y]}]
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-10-2020, 07:32 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Yes. I took off for 3 weeks at Christmas. I...

Yes. I took off for 3 weeks at Christmas. I read the source material and made notes during that time.

However, I have never taken vacation this close to an exam before. So maybe my situation...
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-07-2020, 09:09 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
I'm fairly certain the Brehm paper breaks the...

I'm fairly certain the Brehm paper breaks the laws of physics and causes time dilation in a local space. How could I have spent 2 hours reading and taking notes and not even have made it through the...
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-06-2020, 02:40 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Finished with Goldfarb. Onward to Brehm... ...

Finished with Goldfarb. Onward to Brehm...

Hope to finish the first run through of the source material by the 14th.
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-06-2020, 12:41 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Oh I see. You mean that the multiplier should be...

Oh I see. You mean that the multiplier should be 0.96 based on that wording. It's an understandable interpretation. Yeah, I could see it that way.
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-06-2020, 07:04 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
I'm not sure I understand where he used .95 at. ...

I'm not sure I understand where he used .95 at. Table B2 on page 15 shows .96.

In the excel file I built to mimic the calculations, I was fairly close to what he got (I assumed any error was due...
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-05-2020, 07:26 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
The new errata contains nothing about the...

The new errata contains nothing about the "correct" formula for t that was in the old Corrected Tables paper.

I guess the CAS is doubling down on the \sqrt{p} formula. Oh well, at least it is a...
Forum: Exam 7 - Estimation of Policy Liability & ERM 02-04-2020, 08:13 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
No need to memorize another formula. The same...

No need to memorize another formula. The same MSE formula works for all methods in Hurlimann.

Just remember that the credibilities for the individual and collective methods are 1 and 0...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-31-2020, 07:27 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Thanks!

Thanks!
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-30-2020, 02:58 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
In Marshall, under Internal Benchmarking (pg....

In Marshall, under Internal Benchmarking (pg. 25).

He says that in general, for Outstanding Claims Liabilites we have the following ranking of CoVs (greatest to least):


Long-tailed; Small...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-29-2020, 01:28 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
From Marshall: "Linkages between the premium...

From Marshall:
"Linkages between the premium liability methodology and outcomes from the outstanding claim valuation are key considerations for correlation effects between claim and premium...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-27-2020, 12:28 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
I should finish with Marshall this week, wrapping...

I should finish with Marshall this week, wrapping up the first pass through section A.

Plan:

February

Goldfarb
Brehm
Section A Review
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-23-2020, 08:55 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
I'll probably do it since I work in ERM.

I'll probably do it since I work in ERM.
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-20-2020, 08:00 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
From what I can gather: The estimators...

From what I can gather:

The estimators \hat{f}^_j, \hat{X}^_{kj}, \hat{R}^_k are unbiased.

The estimators \hat{Y}^_{kj} are generally biased.

Though it could have something to do with the...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-17-2020, 12:24 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
In the Feldblum discussion of Teng & Perkins, on...

In the Feldblum discussion of Teng & Perkins, on page 284, he says:

"The combined effect depends on the 'swing' of the plan."

I may be missing it, but what is "swing" here?
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-16-2020, 12:40 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
If they can test a footnote or a random graph...

If they can test a footnote or a random graph from the papers, I tend to believe everything is testable.
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-14-2020, 07:34 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
For Event Risk, the key is "large unpredicted...

For Event Risk, the key is "large unpredicted event" (though I agree that the way it is worded makes "causal link" seem like the key). A new entrant into the market is not something that an insurer...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-13-2020, 07:54 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
The assets are not included in the same category...

The assets are not included in the same category as loss reserves. In theory, every dollar of reserve is backed by an asset to generate investment income until that reserve is paid out. This...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-09-2020, 12:40 PM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
I liked doing the CF end of section original...

I liked doing the CF end of section original problems on the first pass. I use RF to practice problems and memorize.
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-08-2020, 10:25 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Similar to my previous question, in Taylor (page...

Similar to my previous question, in Taylor (page 11), for the Inverse Guassian distribution is the value for \ln \pi (y; \mu, \phi)

[-(\frac{y}{2\mu^2})+\frac{1}{\mu}] \cdot \frac{1}{\phi}

or
...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-08-2020, 08:27 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
In Taylor, page 9, is the value for c(y,\phi) for...

In Taylor, page 9, is the value for c(y,\phi) for a binomial distribution

\ln{n \choose ny} (combinatoric)

or

\ln( n^n \cdot y) (exponential)

or something else altogether?
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-08-2020, 08:07 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
The term "burning cost" is just his verbiage as...

The term "burning cost" is just his verbiage as far as I know. The only definition from the source is

E[U_i^{BC}] = V_i \cdot \sum_{k=1}^n m_k

It is different than the BF a-priori estimate,...
Forum: Exam 7 - Estimation of Policy Liability & ERM 01-06-2020, 11:15 AM
Replies: 979
Views: 97,157
Posted By Unrealistic Ace
Yes. My recommendation is to read the source...

Yes. My recommendation is to read the source paper for each section before reading CF (though in most cases CF is good enough). Use RF Cookbook for practicing questions and the high level summaries...
Showing results 1 to 25 of 234

 

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