Unformatted text preview: The reinsurer wants to collect in the aggregate an amount equal to the 95 th percentile of the distribution of aggregate ceded claims. Using a normal approximation, determine the reinsurer’s relative security loading. (Ans 0.1645) (4) Rework problem (3) using a lognormal approximation. [The formulas for the mean and variance of a lognormal distribution are in the table on page 704 (we used μ instead of m ). Recall that the natural log of a lognormal random variable is normally distributed with mean μ and standard deviation σ .] (Ans 0.1725) (5) Consider the portfolio of insurance contracts in problem (1). Calculate the expected value of the claims provided by a stop-loss reinsurance coverage where there is a retention amount of 40 on individual policies and the deductible amount on the business retained is 300. (Ans 0.8408, using Excel functions PI, SQRT, EXP, NORMSDIST)...
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This note was uploaded on 05/11/2011 for the course STOR 472 taught by Professor Charlesdann during the Spring '11 term at University of North Carolina School of the Arts.
- Spring '11