Moments and Percentiles of Severity Distributions
Free SOA Exam FAM (Fundamentals of Actuarial Mathematics) lesson in Severity, Frequency, and Aggregate Models. 9 min read, ~1,333 words.
Raw moments:. Variance =. LEV:. Excess =. Mean excess loss:. Exponential: constant. Pareto:, increasing. Pareto moments exist only when. Lognormal mean needs term. Percentiles: invert the CDF. Each family has its own closed-form quantile.
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Learning objectives
- 2a
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