Bahnemann Example 5.4

tracyguo8tracyguo8
edited July 2023 in Bahnemann.Chapter5

Hi,

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Could you please confirm the following:

  1. Group - is this ground up claims or paid claims
  2. F_1000(x) is confusing me, since the calculation is just doing normal F(x) while this notation seems to be referring to F_{XA}(x) in the BA wiki which doesn't make sense
  3. Same for E_1000(X;x), the calculation is just calculating E(X;x), what does the notation of E_1000(X;x) mean?

Thanks!

Comments

  • adminadmin

    Hi,

    1. The source text is ambiguous about this but since layers of coverage are discussed later in the chapter/wiki, ground up claims is a reasonable assumption. You can perform the process in either context; how you interpret the results depends on what data you put in.
    2. and 3. We're sticking with the notation used in Bahnemann because it allows people to follow along with the source and the CAS uses the source notation in the exam. Bahnemann uses a subscript of 1000 to indicate the severity data is derived using a sample of 1,000 claims rather than coming from a chosen distribution.

    The Bahnemann text tries to use broad notation where possible. So F_1000(x) is really F_{X_A}(x) where A = 0, which again supports the idea that Bahnemann's Example 5.4 is using ground up claim data.

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