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SOCIETY OF ACTUARIES/CASUALTY ACTUARIAL SOCIETY

EXAM C CONSTRUCTION AND EVALUATION OF ACTUARIAL MODELS

EXAM C SAMPLE QUESTIONS

The sample questions and solutions have been modified. This page indicates changes made to Study Note C-09-08. January 14, 2014: Questions and solutions 300–305 have been added. July 8, 2013: Questions and solutions 73A and 290–299 were added. Question and solution 73 were modified. Question 261 was deleted. August 7, 2013: Solutions to Questions 245, 295, and 297 corrected. Questions from earlier versions that are not applicable for October 2013 have been removed. Some of the questions in this study note are taken from past examinations. The weight of topics in these sample questions is not representative of the weight of topics on the exam. The syllabus indicates the exam weights by topic.

Copyright 2013 by the Society of Actuaries and the Casualty Actuarial Society

C-09-08

PRINTED IN U.S.A.

1.

You are given: (i) Losses follow a loglogistic distribution with cumulative distribution function:

bx / θ g F b xg = 1+ bx / θ g γ γ

(ii)

The sample of losses is: 10 35 80 86

90

120

158

180

200

210

1500

Calculate the estimate of θ by percentile matching, using the 40th and 80th empirically smoothed percentile estimates. (A) (B) (C) (D) (E) Less than 77 At least 77, but less than 87 At least 87, but less than 97 At least 97, but less than 107 At least 107

2.

You are given: (i) The number of claims has a Poisson distribution. (ii) (iii) (iv) Claim sizes have a Pareto distribution with parameters θ = 0.5 and α = 6 . The number of claims and claim sizes are independent. The observed pure premium should be within 2% of the expected pure premium 90% of the time.

Determine the expected number of claims needed for full credibility. (A) (B) (C) (D) (E) Less than 7,000 At least 7,000, but

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