Homework_Assignment_23 - Homework Assignment 23: (1) An...

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Homework Assignment 23: (1) An insurance company sold one-year term life insurance on a group of 2,300 independent lives as given below: Class Benefit Amount Prob of Death Number of Policies 1 1 0.10 500 2 2 0.02 500 3 3 0.02 500 4 2 0.10 300 5 2 0.10 500 The insurance company reinsures amounts in excess of 1 on each life . Formulate a compound Poisson approximation to the distribution of aggregate reinsured claims by matching the probability of no claims. (Ans λ = 104.49112, p(1) = 0.90333, p(2) = .09667) (2) Using the recursion formula (12.4.16) on page 385, tabulate the distribution function of the compound Poisson approximation in problem (1) in a spreadsheet. The reinsurer wishes to charge a premium that is sufficient to guarantee that it will lose money 5% of the time on such groups. Use the distribution function to obtain the appropriate premium. Your solution should include a spreadsheet or a few sample calculations to document how the premium was obtained . (Ans: F S (133) = 0.94524 and
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This note was uploaded on 05/11/2011 for the course STOR 472 taught by Professor Charlesdann during the Spring '11 term at University of North Carolina School of the Arts.

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