Hi, in part 4, I understand how to work out the 99.5th percentile, but I don't quite get how to convert it to the 99.5th percentile claim. Thanks for help.
Hi Iwang, The Tables show us that for a 0.5% claims limit, x must be (for a standard normal distribution) 2.5758, so we "de-standardise" this by solving: (x - 3.3485)/0.3246 = 2.5758 to give x = 4.1846. Remember that we’re working with the underlying Normal distribution at the moment. The claims are lognormally distributed so we need to convert this back to the aggregate claims by taking the exponential, ie: exp(4.1846)=£65.67m (Note, the Examiners' Report uses significant rounding.) Good luck! Katherine.
