Math 472 Spring 2011 Markov Models Lecture Examples

Math 472 Spring 2011 Markov Models Lecture Examples - MATH...

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MATH 471: Actuarial Theory I Markov Models: Lecture Examples 1. Consider a homogeneous Markov Chain, where an individual can be in one of two states during the day: State 0 = healthy and State 1 = sick. The transition matrix is: Q = ± 0 . 85 0 . 15 0 . 30 0 . 70 Assume all transitions between states occur at the end of the day. Given an individual is healthy today (time 0), what is the probability that she will be healthy. .. (a) one day from now? (b) two days from now? (c) both one day from now and two days from now? 1
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2. Re-do Example 1, except now assume a non-homogeneous Markov Chain with transition matrices: Q 0 = ± 0 . 85 0 . 15 0 . 30 0 . 70 Q 1 = ± 0 . 90 0 . 10 0 . 35 0 . 65 2
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Dead (2): (i) The annual transition matrix is given by: Q = 0 . 70 0 . 20 0 . 10 0 . 10 0 . 65 0 . 25 0 0 1 (ii) There are 100 lives at the start, all Healthy. Their future states are independent. Calculate the variance of the number of the original 100 lives who die within the first two years. 3
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This note was uploaded on 05/18/2011 for the course MATH 472 taught by Professor Zhu during the Spring '08 term at University of Illinois, Urbana Champaign.

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Math 472 Spring 2011 Markov Models Lecture Examples - MATH...

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