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Brain teaser...

A

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
 
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