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Unformatted text preview: ACTSC 431 - Loss Models 1 FALL 2007 TEST #2 Name : ID Number : 1. (8 marks) Suppose that the per payment r.v. Y p is PAR ( & = 5 ; = 200) distributed. In addition, the number of payments N p has a zero-modi&ed BIN( n = 4 ; q = 0 : 4 ) distribution with a probability mass at , p M , of : 1 . The actuary responsible of reviewing the previous actuarys work decides to use a slightly di/erent model for the next period based on the claim experience : & the per payment r.v. Y p has the same distribution & the distribution of N p (see above) will be used instead for the number of losses N L We assume that a loss results in a (non-zero) payment with probability : 9 (independently of N L ). (a) (4 marks) Prove that the new distribution for N p is a zero-modi&ed BIN ( n = 4 ; q = 0 : 36) with proba- bility mass at equal to : 1395 . 1 (b) (1 marks) Discretize the distribution of Y p using the method of rounding and a span h of 20 . Calculate (to 4 decimal places of accuracy) all values up to a discretized amount paid of...
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This note was uploaded on 06/28/2009 for the course ACTSC 431 taught by Professor Laundriualt during the Spring '09 term at Waterloo.
- Spring '09