ica4 - Name 1‘" C UNIVERSITY OF ILLINOIS AT...

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Unformatted text preview: Name: 1‘ " C UNIVERSITY OF ILLINOIS AT URBANA—CHAMPAIGN Department of Mathematics ACTUARIAL SCIENCE PROGRAM Math 476 I 567 Prof. Rick Gorvett Actuarial Risk Theory Fall= 2010 In-Class Assignment # 4 (2 problems worth 1 point each) Tuesday, October 5, 2010 This assignment is open-book, open-note, and you may work together in groups of no more than 4. Each student must hand in her/his own answer sheet. Please circle your final answers. For Problems (I! and (2): Consider a standard discrete Wiener process which currently has a value of 100. (1) Determine the probability that the process will have a value less than 97 four years from now. - 5-90 Pixflfi an] = ”fins-37m ‘ id?! = file/.50) = lava“. :3 0.0668, 0% 6.637. m (2) Find a (two-sided) 95% confidence interval for the process around the expected value four years from now. loot Lacs-JT'= 1992': Ma. w m ...
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