Fisher.Visualization: Difference between revisions
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==In Plain English!== | ==In Plain English!== | ||
When working with per-occurrence limits and aggregate limits it can be helpful to visualize them. A widely used approach was developed in a paper by Yoong-Sin Lee <ref>[https://www.casact.org/pubs/proceed/proceed88/88049.pdf Lee, Yoong-Sin, "The Mathematics of Excess of Loss Coverages and Retrospective Rating – A Graphical Approach", ''PCAS'' LXXV, 1988]</ref>. ''Alice: Lee's paper isn't on the syllabus itself, but sometimes with tricky material it helps to refer to the original source'' | When working with per-occurrence limits and aggregate limits it can be helpful to visualize them. A widely used approach to visualizing them was developed in a paper by Yoong-Sin Lee <ref>[https://www.casact.org/pubs/proceed/proceed88/88049.pdf Lee, Yoong-Sin, "The Mathematics of Excess of Loss Coverages and Retrospective Rating – A Graphical Approach", ''PCAS'' LXXV, 1988]</ref>. | ||
''Alice: "Lee's paper isn't on the syllabus itself, but sometimes with tricky material it helps to refer to the original source."'' | |||
The graphs described in the paper are usually referred to as "Lee diagrams". A <span style="color:red";>'''Lee Diagram'''</span> has the cumulative claims (count or percentage of loss distribution) on the horizontal axis, and the severity or aggregate loss (the "size") on the vertical axis. Let's look at this in more detail. | The graphs described in the paper are usually referred to as "Lee diagrams". A <span style="color:red";>'''Lee Diagram'''</span> has the cumulative claims (count or percentage of loss distribution) on the horizontal axis, and the severity or aggregate loss (the "size") on the vertical axis. Let's look at this in more detail. | ||
Revision as of 20:17, 20 May 2020
Reading: Fisher, G. et al, "Individual Risk Study Note," CAS Study Note, Version 3, October 2019. Chapter 3. Section 2
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In Plain English!
When working with per-occurrence limits and aggregate limits it can be helpful to visualize them. A widely used approach to visualizing them was developed in a paper by Yoong-Sin Lee [1].
Alice: "Lee's paper isn't on the syllabus itself, but sometimes with tricky material it helps to refer to the original source."
The graphs described in the paper are usually referred to as "Lee diagrams". A Lee Diagram has the cumulative claims (count or percentage of loss distribution) on the horizontal axis, and the severity or aggregate loss (the "size") on the vertical axis. Let's look at this in more detail.
Let n be the number of losses, let the loss sizes be x1, ..., xk and assume they're ordered such that x1 < x2 < ... < xk. Let the associated loss frequencies be given by n1, ..., nk thus n = n1 + ... + nk.