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  #601  
Old 02-26-2020, 03:07 PM
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Originally Posted by manaknight14 View Post
Is your gf cool with you hanging out with five other bag-headshot chicks too? Because there's a lot of "et al" in that Brehm text.
Hmmm, good point. Maybe I should do it to my coworkers instead so she doesn't know. We're in an open office environment so if I give them all bags, I can be surrounded by the authors all day.
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Old 02-26-2020, 04:04 PM
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We're trying to get LDFs to calculate the reserves for prior accident years. Why would we bring everything to the latest accident year and a different trend level?
This is just an interim step. (Basic limits LDFs at the latest AY cost level). Your final step backs out the BL @ latest AY level and adjusts back to the desired layer at various AY cost levels.
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Old 02-26-2020, 04:14 PM
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This is just an interim step. (Basic limits LDFs at the latest AY cost level). Your final step backs out the BL @ latest AY level and adjusts back to the desired layer at various AY cost levels.
This is the right answer.
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Old 02-26-2020, 11:12 PM
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Sahasrabuddhe is interesting in that the procedure adjusts to a level, performs a procedure that we recognise can be interpreted as a regression, and then adjusts to another level. Surely there is a way to go from point A to B in a regression framework without a need to adjust the data in this way.
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Old 02-26-2020, 11:37 PM
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perhaps this would allow you to choose a claim size model in the context of valuation instead of just finding best fit based on the claim size. Like, if you have to choose between Weibull and Lognormal and it's a toss up, you could try both and do Saha's procedure to see the results but perhaps it can be integrated better within a unified framework
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Old 02-27-2020, 09:38 AM
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The Marshall problems aren't as bad as I thought they'd be. For the most part it's just knowing the types of internal/external system risks and the CoV calculations. Gonna finish up Marshall either today or tomorrow and do Teng & Perkins over the weekend. I'm trying to finish this pass through by mid March, so I think I'm still on pace for that. In another couple weeks I'm gonna start doing 2 study hours at work every day so that'll help a lot too.
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Old 02-27-2020, 05:17 PM
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Iím so falling behind. Probably will catch up by late March. If the exam got postponed due to the virus I would revisit Brehm. Hopefully not.

Last edited by jumpyshrimp; 02-27-2020 at 05:24 PM..
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  #608  
Old 02-27-2020, 09:26 PM
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Iím so falling behind. Probably will catch up by late March. If the exam got postponed due to the virus I would revisit Brehm. Hopefully not.
what do you consider caught up
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Old 02-27-2020, 10:47 PM
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blooms question: compare Meyer's approach to trend in the CIT model with the cost indices approach employed by Sahasrabuddhe
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Old 02-28-2020, 01:19 PM
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Originally Posted by AbedNadir View Post
blooms question: compare Meyer's approach to trend in the CIT model with the cost indices approach employed by Sahasrabuddhe
Meyers clearly demonstrates that CIT doesn't work whereas Saha simply describes a procedure for incorporating AY and CY trends using an index based on the upper left corner of the triangle.

Seriously, though... this is a good question to ponder. How many points do you propose for this question? Anyway I'll give it a quick shot...

Saha:
* applied to cumulative losses
* Trends are pre-determined by actuary and then applied
* Applied explicitly to both CY and AY
* no idea if it "actually works"

Meyers
* applied to incremental losses
* tau is deternined via MLE within a GLM context
* applied to cal yr only i.e. tau times (w+d-1)
* we know it doesn't work
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