Fall 2019 #20
The reinsurance here is excess loss reinsurance;
Reinsurer A: 150 K sx 50 K => the retained loss should be 150K here right (aka reinsurer cover loss between 150K and 200K loss distribution)
Am I missing anything ? as examiner said differently
Comments
Also, for the PV(Unpaid Cat Loss) = 55,000 x 0.4 x 1.03^‐0.5 = 21,677 ;
shouldn't it be : 55K x 1 x 1.03^(-0.50); as claims develop 12 months
Thank you!
150k xs 50k means that the reinsurer covers the layer between 50k and 50k + 150k (i.e. the first 150k in excess of 50k).
What you are describing would be 50k xs 150k.
As for the factor, the cat loss amount are given as of 0 months, so to calculate the unpaid as of 12, you must multiply by (1-0.6) as 60% is pais in the first 12 months
AnLaPe is correct in all their points
I see!! date was Jan 1, 2019 Thank you!