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Brain teaser...

Discussion in 'Off-topic' started by Actuarial Professional, Jan 5, 2018.

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  1. Actuarial Professional

    Actuarial Professional Member

    Hi,

    Does anyone know of a neat (regression??) solution to the following problem?:

    GLR = GC / GP

    RLR = RC / RP = ( GC x CR% ) / ( GP x CP% )

    NLR = NC / NP = ( GC - RC ) / ( GP - RP )

    Regression variables:

    NLR = y

    GC = x1
    CR% = x2
    CP% = x3

    Where:

    GLR = gross loss ratio
    GC = gross claims
    GP = gross premium (arbitrarily set to a fixed value of 100 for the purpose of simplifying the problem)

    RLR = reinsurance (ceded) loss ratio
    RC = reinsurance (ceded) claims recoveries
    RP = reinsurance (ceded) premiums

    CR% = ceded recoveries % (of gross claims)
    CP% = ceded premiums % (of gross premiums)

    NLR = net loss ratio
    NC = net claims
    NP = net premiums
     
    Actuarial Professional, Jan 5, 2018
    #1

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