CAS Open Source Committee Blog

Modeling ALAE Using Copulas posted on 09 Dec 2015 22:16 by Greg McNulty

Imagine you are a reinsurance pricing actuary tasked with pricing (or costing) an excess of loss contract. A typical method would be to determine the expected number of claims excess of some threshold, and then to also chose a severity distribution representing the probability of different sizes of loss above that threshold. A pareto curve would be a typical example or you also might use a semi-parametric mixed exponential distribution. Assuming these distributions represent only the ceding company's incurred loss, you can also apply their limit profile to get what's called an exposure estimate of the loss to the layer. (read more…)

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An Introduction to Open Source Software posted on 08 Apr 2014 18:32 by Avraham

As the Open Source software committee, it probably behooves us to release some, if not all, of our work under an open source license as well. Prior to that, we should clarify what we is meant by "Open Source" as opposed to "Free" or "Libre" and then reach a consensus about the best option. (read more…)

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