Pricing a Portfolio of Large Commercial Risk

Pricing a Portfolio of Large Commercial Risk

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Description:

Large commercial risk portfolios present unique challenges to the pricing actuary – heterogeneity, for instance, in the nature of risks, the coverage structures, and participation shares among other things. This presentation will provide a comprehensive discussion of the adjustments to bring all the risks at a common level for pricing, produce basic rates at this level and then restating the prices at individual levels. A blend of experience rating and distribution fitting will be presented, in particular exploring the mixed curves that lend themselves well to these objectives. The discussions will demonstrate how to use the experience rates on the credible working layers while calibrating the fitted mixed distributions to produce experience adjusted expected claims for higher layers.

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