October 2014
Intermediate to advanced
584 pages
22h 2m
English
Content preview from Pricing in General Insurance
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367Liability Rating Using Increased Limit Factor Curves
of the market severity curve. This is how reinsurance pricing should normally work, data
permitting.
Therefore, by collating market/portfolio losses and transforming them into ILF curves
rather than straightforward market severity curves, we may, in some cases, be creating an
unnecessary problem for ourselves!
22.8 Questions
1. Assume that the correct severity distribution for a public liability portfolio is a
lognormal with μ = 10.5 and σ = 1.2. Derive the analytical form of the correspond-
ing ILF curve above £100,000 and draw it using a spreadsheet.
2. Prove that the CDF of the severi ...
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