hw8 - IEOR 4404 Simulation Prof. Mariana Olvera-Cravioto...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
IEOR 4404 Assignment #8 Simulation October 26, 2006 Prof. Mariana Olvera-Cravioto Page 1 of 1 Assignment #8 – due November 3rd, 2006 1. (From Ross) Suppose in the insurance risk model presented in class that, conditional on the event that the firm’s capital goes negative before time T , we are also interested in the time at which it becomes negative and the amount of the shortfall. Explain how we an use the given simulation methodology to obtain relevant data. 2. (From Ross) A system experiences shocks that occur in accordance with a Poisson process having a rate of 1/hour. Each shock has a certain amount of damage associated with it. These damages are assumed to be independent random variables (which are also independent of the times at which the shocks occur), having the common density function f ( x ) = xe - x , x > 0 Damages dissipate in time at an exponential rate α —that is, a shock whose initial damage is x will have remaining damage value xe - as at time s after it occurs. In addition, the damage
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 11/17/2010 for the course IEOR 4404 taught by Professor C during the Spring '10 term at Columbia.

Page1 / 2

hw8 - IEOR 4404 Simulation Prof. Mariana Olvera-Cravioto...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online