Understand and interpret the characteristics of severity distributions.
Free SOA Exam ASTAM (Advanced Short-Term Actuarial Mathematics) lesson in Severity Models. 7 min read, ~1,064 words.
Severity is a non-negative continuous random variable. Characterize it by,, and the hazard. Light-tailed families (gamma, Weibull ) have all moments. Heavy-tailed families (Pareto, lognormal, Weibull ) have explosive or infinite tails. Pareto mean is finite only for; variance only for. Coefficient of variation is the scale-free spread index; skewness...
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- Example 1
- Example 2
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Learning objectives
- 1c
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