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#3241
10-14-2017, 09:57 AM
 cmoibenlepro Member CAS SOA Join Date: May 2007 Location: Montreal Studying for 9 Posts: 1,268

time to study
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CAS: OC1 OC2 5 6C ACAS 7 8 9 FCAS
#3242
10-14-2017, 11:32 AM
 LongestRoad Member CAS Join Date: Nov 2014 Posts: 390

Quote:
 Originally Posted by bjc2142 got some spare time to start memorizing agg variance, risk load formulas and practice panjer. Not even gonna bother with non-poisson panjers. If first ever panjer problem on this exam is something like negative binomial, I will be so pissed
Was just wondering if I should bother with Panjer at all. Completely forgot it was even something I read about until I saw one of the 2013 questions on it
#3243
10-14-2017, 11:33 AM
 LongestRoad Member CAS Join Date: Nov 2014 Posts: 390

Quote:
 Originally Posted by Polak Doing Bahnemann cookbook problems and I'm confused by something about the first one (page 49). If $6810 is the average severity of claims greater than 5,000, am I crazy to think I should be able to just subtract$5000 from 6810 and say the mean excess severity above $5000 is$1810? He calculates it out to $1813, and the Bahnemann math does get that answer even if you don't round anything. It doesn't make any sense to me why I can't just reduce all the excess claims by$5000. I actually did a similar subtraction thing for all of them, without ever using 1- F(x), and got answers very close to his but not quite the same. It seems like a perfectly legitimate way to go about solving the problem. Maybe I'm just tired...
I thought the same thing, so I'd be curious as well as to why our method wouldn't be reasonable
#3244
10-14-2017, 12:42 PM
 Tacoactuary Member CAS Non-Actuary Join Date: Nov 2014 Location: Des Moines, IA College: Vanderbilt, UIUC Favorite beer: Yazoo Sue Posts: 846

$E[X_a] = \frac{E[X]-E[X;a]}{S_X(a)}= \frac{\int_0^\infty x dF_X(x) - \int_0^a xdF_X(x) - a\cdot S_X(x)}{S_X(a)} = \frac{\int_a^\infty x dF_X(x)}{S_X(a)} - a = \frac{E[X\cdot \mathbf{1_{X>a}}]}{S_X(a)} -a= E[X | X>a ] - a
$
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Last edited by Tacoactuary; 10-14-2017 at 12:49 PM..
#3245
10-14-2017, 01:51 PM
 Polak Member CAS Join Date: May 2013 Posts: 906

Quote:
 Originally Posted by Tacoactuary $E[X_a] = \frac{E[X]-E[X;a]}{S_X(a)}= \frac{\int_0^\infty x dF_X(x) - \int_0^a xdF_X(x) - a\cdot S_X(x)}{S_X(a)} = \frac{\int_a^\infty x dF_X(x)}{S_X(a)} - a = \frac{E[X\cdot \mathbf{1_{X>a}}]}{S_X(a)} -a= E[X | X>a ] - a$
I feel like this means I'm right and should be given credit for what I did.
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#3246
10-14-2017, 01:53 PM
 Polak Member CAS Join Date: May 2013 Posts: 906

In other news, TIA #3 has proven definitively that I do not actually understand any of the material on this exam. Any oddly phrased questions I will have to partial credit my way through by making assumptions that make them similar to ways I've seen the information presented in the past.
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#3247
10-14-2017, 01:56 PM
 Polak Member CAS Join Date: May 2013 Posts: 906

Also the prospect of being given distributions in Bahnemann instead of being told what things like E[X^2;a] equal is horrifying.

Wait, you want me to determine E[x^2;a] via integration? F***. I haven't done that since P. Next problem.
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#3248
10-14-2017, 02:03 PM
 Polak Member CAS Join Date: May 2013 Posts: 906

Also the phrase "Expected aggregate losses limited to \$500" is ambiguous. Is that an occurrence limit or an aggregate limit?

Spoiler:
It's an occurrence limit...
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Exams: P FM 3L 3F 4C 5 6 7 8 9
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#3249
10-14-2017, 03:46 PM
 LongestRoad Member CAS Join Date: Nov 2014 Posts: 390

Quote:
 Originally Posted by Polak I do not actually understand any of the material on this exam. Any oddly phrased questions I will have to partial credit my way through by making assumptions that make them similar to ways I've seen the information presented in the past.
Yeah, like, I can calculate Table L charges all day- but ask me to tell you *why* it accounts for things differently than ICRLL or Limited Table M? Yeahhh maybe, but probably just a big nope from me
#3250
10-14-2017, 04:05 PM
 LongestRoad Member CAS Join Date: Nov 2014 Posts: 390

Anyone have a memory trick for knowing the difference between the PAFs from rules 13B and 13C (for ISO Experience rating). I constantly get them mixed up and anytime I try to understand what they're actually doing I feel like I'm just reading the same words for both of them

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