• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

Reinsurance Integration

M

mcallist

Member
Hi,

This is a question from the flash cards with infinity in the limits of the integral. I'm always a little bit unsure about integrating when infinity is around and was wondering if someone could please explain it.

The solution in the flashcards uses integration by parts.

Here's the question.

Claim amounts have a Pareto distribution with parameters a = 3 and lambda = 120.
Calculate the mean claim amount paid by the reinsurer under excess of loss with retention limit 100.

Thanks in advance.
Tom
 
Since claim sizes could be anything we model them with a distribution that has no upper limit.
However, we substituting in infinity everything will be fine as we will have terms of \(e^{-\infty}\) which tends to zero.
 
Back
Top