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You are given the following information about a general liability book of business comprised of 2500 insureds: N (i) X, = Y, is a random variable representing the annual loss of the insured. J=1 N,, N2, ..., N2500o are independent and identically distributed random variables following a negative binomial distribution with parameters r= 2 and B= 0.2. (ii) (iii) Yn, Y2. ., YN, are independent and identically distributed random variables following a Pareto distribution with a = 3.0 and 0 = 1000. %3D The full credibility standard is to be within 5% of the expected aggregate losses 90% of the time. (iv) Using classical credibility theory, determine the partial credibility of the annual loss OYnorience for this book of business

You are given the following information about a general liability book of business comprised of 2500 insureds: N (i) X, = Y, is a random variable representing the annual loss of the insured. J=1 N,, N2, ..., N2500o are independent and identically distributed random variables following a negative binomial distribution with parameters r= 2 and B= 0.2. (ii) (iii) Yn, Y2. ., YN, are independent and identically distributed random variables following a Pareto distribution with a = 3.0 and 0 = 1000. %3D The full credibility standard is to be within 5% of the expected aggregate losses 90% of the time. (iv) Using classical credibility theory, determine the partial credibility of the annual loss OYnorience for this book of business

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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(A) 0.19 (B) 0.22 (C) 0.25 (D) 0.28 (E) 0.31 You are given the following information about a general liability book of business comprised of 2500 insureds: N, (i) X, = Y, is a random variable representing the annual loss of the i™ insured. J=1 N, N2, .... following a negative binomial distribution with parameters r= 2 and ß = 0.2. (ii) N2500 are independent and identically distributed random variables (iii) Y1, Yp. ., YN, are independent and identically distributed random variables following a Pareto distribution with a = 3.0 and 0 = 1000. (iv) The full credibility standard is to be within 5% of the expected aggregate losses 90% of the time. Using classical credibility theory, determine the partial credibility of the annual loss experience for this book of business. (A) 0.34 (B) 0.42 (C) 0.47 (D) 0.50 (E) 0.53 To estimate E[X], you have simulated X,, X,, X,, X, and X, with the following results: 3 5
Transcribed Image Text:(A) 0.19 (B) 0.22 (C) 0.25 (D) 0.28 (E) 0.31 You are given the following information about a general liability book of business comprised of 2500 insureds: N, (i) X, = Y, is a random variable representing the annual loss of the i™ insured. J=1 N, N2, .... following a negative binomial distribution with parameters r= 2 and ß = 0.2. (ii) N2500 are independent and identically distributed random variables (iii) Y1, Yp. ., YN, are independent and identically distributed random variables following a Pareto distribution with a = 3.0 and 0 = 1000. (iv) The full credibility standard is to be within 5% of the expected aggregate losses 90% of the time. Using classical credibility theory, determine the partial credibility of the annual loss experience for this book of business. (A) 0.34 (B) 0.42 (C) 0.47 (D) 0.50 (E) 0.53 To estimate E[X], you have simulated X,, X,, X,, X, and X, with the following results: 3 5
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