# Pinto & Gogol

 XS LDF uses Smooth underlying factorsGenerate XS dvpmt factors beyond 99 mosGenerate XS dvpmt factors for other retentions Translate AY LDF to PY LDF AY LDF(Age) = PY(Age + 6 mos) Translate single line LDF vs subline LDFs Say three sublines with tail factor = 1 + a/b/cCompare to a single line with tail factor 1 + dIsolate x in (a + b + c) * x / 3 = dAdjusted factor for subline 1 is 1 + ax XS Paid loss and ALAE dvpmt Pdx to y = Rptx to y * (Pd to rpty/Pd to rptx) Single Parameter Pareto to estimate XS LDF Model illustrates rpting pattern and chging char of size of lossLDF = d(x/k)qi - qj whered = excess LDF at lower retentionx = new retentionk = lower retentionqi/j = single par pareto q at earlier/later age Dvpmt factors by layer of ins ec,n = f(c) / LDFcLDFult = (f(c) - f(d))/(ec,n - ed,n)LDFBasic,n = (1 - f(B)) / (1/LDF0,n - f(B)/LDFB,n) Account-specific dvpmt Assumption: ratio of gross limit to retention are equal for both layersLDF = dce wherec = x1/k1e = qi - qjd = LDF in first layer AuthorEsaie ID33915 Card SetPinto & Gogol DescriptionExam6 by Esaie Pinto & Gogol Updated2010-09-11T02:15:19Z Show Answers