Moments and Percentiles of Severity Distributions
Free SOA Exam FAM (Fundamentals of Actuarial Mathematics) lesson in Severity, Frequency, and Aggregate Models. 13 min read, ~1,929 words.
Raw moments:; the density and survival forms give the same answer. Variance. LEV:; excess. Mean excess loss:; exponential is constant, Pareto is, increasing. Pareto moments exist only when; the lognormal mean carries the term while the median does not. Percentiles: invert each family's CDF; every family has its own closed-form...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- 2a
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