QuestionSet4

# QuestionSet4 - ACTSC 431/831 – QUESTION SET 4 1 Suppose...

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Unformatted text preview: ACTSC 431/831 – QUESTION SET 4 1. Suppose the following data are available for a claims process: claim number 1 2 3 4 5 6 7-------------------------------------------------------- time of claim 0.5 1.45 3.2 4.1 4.55 6.2 6.8 claim amount 4.1 6 6.9 8.2 8.8 5 8 Assume that the initial surplus is 7 and the rate of premium collection is 5.3. (a) Write the equation for aggregate claims for t ≤ 8 and graph. (b) Write the equation for surplus for t ≤ 8 and graph. (c) Does ruin occur? If so, what is the time of ruin? What is the amount of the deficit at ruin? (d) What is the smallest value of u needed to insure that ruin does not occur in the interval [0 , 8], assuming that you can’t change the premium rate? (e) Graph the aggregate loss over the interval [0 , 8]. What is the maximum aggregate loss L ? (f) Alternatively, calculate the maximum aggregate loss by using your surplus graph and sum- ming each of the new lows in surplus....
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• Spring '09
• laundriualt
• Probability theory, Poisson process, Compound Poisson process, Compound Poisson distribution, initial surplus

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QuestionSet4 - ACTSC 431/831 – QUESTION SET 4 1 Suppose...

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