Consider the following statements made about EBCT Model 1. (a) e represents the 'true' risk premium...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
Consider the following statements made about EBCT Model 1. (a) e represents the 'true' risk premium for a given risk. (b) The variance of X; doesn't depend on 6. (c) None of the random variables or parameters in the model are assumed to have a normal distribution. Explain whether each of these statements is true or false. The table below shows the aggregate claim amounts (in £m) for an international insurer's fire portfolio for a 5-year period, together with some summary statistics. Country, 1 2 Country, 3 4 1 2 3 1 48 4 64 85 44 1 The volumes of business for each country for the insurer are as follows: Volume of business, Year j 3 5 13 10 30 12 20 5 Aggregate claim amount, Year j 2 3 4 53 42 50 71 64 73 76 65 69 55 22 54 52 2 15 14 8 35 22 6 30 4 16 15 12 5 59 16 70 90 71 4 10 Calculate the credibility premium for each country in Year 6 using EBCT Model 2. 6 2292 20 25 10 12 An actuary has, for three years, recorded the volume of unsolicited advertising that he receives. He believes that the number of items that he receives follows a Poisson distribution with a mean which varies according to which quarter of the year it is. He has recorded Y, the number of items received in the i th quarter of the j th year (i=1,2,3,4 and j=1,2,3). The actuary wishes to estimate the number of items that he will receive in the first quarter of year four. He has recorded the following data: (i) i=1 i=2 i=3 i=4 (iv) Y₁1 98 82 75 132 Y/2 117 102 83 152 Y₁3 124 95 88 148 *-ΣΥΣ(4) 1 113 93 82 144 362 206 86 224 Estimate Y₁,4 the number of items that the actuary expects to receive in the first quarter of year four using the assumptions of EBCT Model 1. [5] The actuary believes that, in fact, the volume of items has been increasing at the rate of 10% per annum. (ii) Suggest how the approach in (i) can be adjusted to produce a revised estimate taking this growth into account. [2] Calculate the maximum likelihood estimate of Y₁,4 (based on the quarter one data already observed and the 10% pa increase described above). [5] Compare the assumptions underlying the approach in (i) and (ii) with those underlying the approach in (iii). [2] [Total 14] Consider the following statements made about EBCT Model 1. (a) e represents the 'true' risk premium for a given risk. (b) The variance of X; doesn't depend on 6. (c) None of the random variables or parameters in the model are assumed to have a normal distribution. Explain whether each of these statements is true or false. The table below shows the aggregate claim amounts (in £m) for an international insurer's fire portfolio for a 5-year period, together with some summary statistics. Country, 1 2 Country, 3 4 1 2 3 1 48 4 64 85 44 1 The volumes of business for each country for the insurer are as follows: Volume of business, Year j 3 5 13 10 30 12 20 5 Aggregate claim amount, Year j 2 3 4 53 42 50 71 64 73 76 65 69 55 22 54 52 2 15 14 8 35 22 6 30 4 16 15 12 5 59 16 70 90 71 4 10 Calculate the credibility premium for each country in Year 6 using EBCT Model 2. 6 2292 20 25 10 12 An actuary has, for three years, recorded the volume of unsolicited advertising that he receives. He believes that the number of items that he receives follows a Poisson distribution with a mean which varies according to which quarter of the year it is. He has recorded Y, the number of items received in the i th quarter of the j th year (i=1,2,3,4 and j=1,2,3). The actuary wishes to estimate the number of items that he will receive in the first quarter of year four. He has recorded the following data: (i) i=1 i=2 i=3 i=4 (iv) Y₁1 98 82 75 132 Y/2 117 102 83 152 Y₁3 124 95 88 148 *-ΣΥΣ(4) 1 113 93 82 144 362 206 86 224 Estimate Y₁,4 the number of items that the actuary expects to receive in the first quarter of year four using the assumptions of EBCT Model 1. [5] The actuary believes that, in fact, the volume of items has been increasing at the rate of 10% per annum. (ii) Suggest how the approach in (i) can be adjusted to produce a revised estimate taking this growth into account. [2] Calculate the maximum likelihood estimate of Y₁,4 (based on the quarter one data already observed and the 10% pa increase described above). [5] Compare the assumptions underlying the approach in (i) and (ii) with those underlying the approach in (iii). [2] [Total 14]
Expert Answer:
Answer rating: 100% (QA)
Lets go through each statement and determine whether it is true or false a represents the true risk premium for a given risk This statement is unclear ... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
Students also viewed these accounting questions
-
The following additional information is available for the Dr. Ivan and Irene Incisor family from Chapters 1-5. Ivan's grandfather died and left a portfolio of municipal bonds. In 2012, they pay Ivan...
-
A researcher wanted to find out if there was difference between older movie goers and younger movie goers with respect to their estimates of a successful actors income. The researcher first...
-
The following additional information is available for the Dr. Ivan and Irene Incisor family from Chapters 1-4. Ivan and Irene paid the following in 2012 (all by check or can otherwise be...
-
The formula F(x) = 3x + C gives a different function for each value of C. All of these functions, however, have the same derivative with respect to x, namely F(x) = 3. Are these the only...
-
Analyzing an L-R-C Circuit. You have a 200- resistor, a 0.400-H inductor, a 5.00-F capacitor, and a variable-frequency ac source with an amplitude of 3.00 V. You connect all four elements together to...
-
The controller is complaining to her friend about the crazy requests that come from the top managers. The CEO has requested that I calculate product costs to include research and development and...
-
The Mann Corporation began operations in 2015. Information relating to the companys purchases of inventory and sales of products for 2015 and 2016 is presented below. Calculate the FIFO cost of goods...
-
Presented below is selected information for three regional divisions of Glendo Company. Instruction (a) Compute the return on investment for each division. (b) Compute the residual income for each...
-
"Bringing Manufacturing Back to the U.S is Easier Said Than Done," by Willy Shih, Harvard Business Review, April 2020 Dissusion abot 150-200 words
-
John and Ellen Brire are married and file a joint return. They have no dependents. John owns an unincorporated specialty electrical lighting retail store, Brite-On. Brite-On had the following assets...
-
During the current year, Sam Smith sold equipment used in his diner. Information about the sale of equipment is as follows: Sale price $20,000 Original cost 19,000 MACRS depreciation taken 10,000...
-
Based on "The Next Management Breakthrough: EPM, Non-GAAP Measures and KPIs in a Digital World," https://mydigitalpublication.com/publication/?i=652870&ver=html5&p=32 What are some challenges of...
-
A company has two service departments (S1 and S2) and two production departments (P1 and P2).Departmental data for August 2018 were as follows: [S1 and S2] Cost incurred:P54,000, P36,000 Service...
-
Find a solution to Laplace's equation and boundary conditions Uxx + Uyy = 0, u(x, 0) = cos(2x), u(x, 1) = 0, ux(0, y) = 0, ux(1, y) = 0. Solve Laplace's equation on an annulus 1
-
Prove this equation gt2 2vit 2h = 0 - equal to t = [1 + 1 2hg 1+ vz
-
A company issues $500,000 of 9% bonds due in 10years in 1/1/2022, with interest payable semiannually, the market interest rate in that date was 10%, the company retire half of the bonds in 30/06/2024...
-
Expose the central ideas of the relationship between man and nature according to Marxist theory. What are the contradictions that arise between nature and the process of valorization and capitalist...
-
Consider the discrete group G of order 8 that has the following Cayley diagram e If we have the sequence of operations: fcagec, which of the options represents the reduction of the sequence to a...
-
David and Darlene Jasper have one child, Sam, who is 6 years old. The Jaspers reside at 4639 Honeysuckle Lane, Los Angeles, CA 90248. David's Social Security number is 577-11-3311, Darlene's is...
-
Your supervisor has asked you to research the following situation concerning Owen and Lisa Cordoncillo. Owen and Lisa are brother and sister. In May 2012, Owen and Lisa exchange business pickup...
-
Sherry Hopson owns a retail family clothing store. Her store is located at 4321 Circle Drive, Houston, TX 77001. Her employer identification number is 95- 1234321 and her Social Security number is...
-
The following information is taken from the annual report of The Coca- Cola Company: Calculate the receivable turnover ratio and the receivable collection period for 2014 and 2015. How much...
-
The following information is taken from the annual report of The Mann Corporation: Calculate the receivable turnover ratio and the receivable collection period for 2014 and 2015. How much additional...
-
CA Technologies is a software company that designs, develops, installs, and services business software for manufacturing companies. Typically, CA Technologies provides its services over a multiyear...
Study smarter with the SolutionInn App