BA3202-L3 - BA3202 Actuarial Statistics Lecture 2 Summary...

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BA3203 L3 BA3202 Actuarial Statistics Lecture 2 Summary: - Loss distributions
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BA3203 L3 Estimation & Goodness of Fit (GOF) Statistical fitness is tested using a 𝜒 2 test. No need to memories the formulae for densities and moment generating functions (when defined) Provided in the yellow book in exams Several methods to estimate distribution parameters: Method of Moments (MM) Method of Percentiles (MP) Maximum Likelihood Estimation (MLE) Actuarial Science NTU Jade Nie [email protected] 2
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BA3203 L3 Some common distributions The Lognormal distribution The Exponential distribution The Gamma distribution The Pareto distribution The Weibull distribution Mixture distributions Variations on Pareto distribution Actuarial Science NTU Jade Nie [email protected] 3
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BA3203 L3 BA3202 Actuarial Statistics Lecture 3: - Reinsurance
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BA3203 L3 Objectives 1. Explain the concepts of excesses (deductibles), and retention limits. 2. Describe the operation of simple forms of proportional and excess of loss reinsurance. 3. Derive the distribution and corresponding moments of the claim amounts paid by the insurer and the reinsurer in the presence of excesses (deductibles) and reinsurance. 4. Estimate the parameters of a failure time or loss distribution when the data is complete, or when it is incomplete, using maximum likelihood and the method of moments. Actuarial Science NTU Jade Nie [email protected] 5
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BA3203 L3 Introduction Consumer buy insurance to protect themselves against risks Consumer pays insurance companies premium In an event of loss, insurance companies pay the loss Consumer transfers risks to the insurance companies In some cases, insurance companies cannot manage all the risk they buy from consumers Potential losses maybe too large for them Insurance companies buy protection from re‐insurance companies
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