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4 Cards in this Set
- Front
- Back
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1、E(g(x))计算的两种方法
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layer method
size method |
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2、ILF
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depends only on the size of loss distribution
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3、consistency test
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ILF increase at a decreasing rate.
(A loss must penetrate a lower layer before it reaches an upper layer) I'(K)=G(X)/abls I''(k)=-f(x)/abls<0 以上结论假定不存在anti-selection 如果存在anti-selection，高风险的人倾向于高保额，由于存在高保额而导致损失偏高的话，consistency test失效 |
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4、trend
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E(ax,b)=aE(x,b/a)
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