T
TheresMoreToLifeThanExams
Member
Hi all,
This is my first ever post, so hopefully I will follow protocol and not get told off by any regulars or admins for breaking them accidentally ;-)
Ok here goes, I'm struggling to understand why Q 11.8 which depends on Q 11.5 has the solution described in the CMP.
Chapter 11 of ST8 (aggregate claim distribution models)
Question 11.5 (ok)
Agg claims: S is a compound POIS
Claim size: X is a PARETO
(Assume S is approx NORM)
Question 11.8 (??)
Agg claims: S (as per Q 11.5)
Claim size: X is a TRANS GAM
So E(S), V(S) and skew(S) are all required to parameterise the T.GAM then solve using the Chi-Sqr distn tables.
However, the solution for Q 11.8 appears to suggest the correct solution involves finding the 3rd moment (about 0) of X = E(X^3) rather than E(S^3) to ultimately solve for the coefficient of skewness for S.
Can anyone here help point me in the right direction please? It's probably something really obvious that I'm just not seeing right now.
Thanks in advance
Happy studying!
TMTLTE
This is my first ever post, so hopefully I will follow protocol and not get told off by any regulars or admins for breaking them accidentally ;-)
Ok here goes, I'm struggling to understand why Q 11.8 which depends on Q 11.5 has the solution described in the CMP.
Chapter 11 of ST8 (aggregate claim distribution models)
Question 11.5 (ok)
Agg claims: S is a compound POIS
Claim size: X is a PARETO
(Assume S is approx NORM)
Question 11.8 (??)
Agg claims: S (as per Q 11.5)
Claim size: X is a TRANS GAM
So E(S), V(S) and skew(S) are all required to parameterise the T.GAM then solve using the Chi-Sqr distn tables.
However, the solution for Q 11.8 appears to suggest the correct solution involves finding the 3rd moment (about 0) of X = E(X^3) rather than E(S^3) to ultimately solve for the coefficient of skewness for S.
Can anyone here help point me in the right direction please? It's probably something really obvious that I'm just not seeing right now.
Thanks in advance
Happy studying!
TMTLTE