Project-831-2011-F

Project-831-2011-F - Project ACTSC 831 FALL 2011 Project...

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Project – ACTSC 831, FALL 2011 Project deadline: 4:00 pm, Friday, December 9 . Please submit a hard copy of your project to M3 4012 or email a PDF file of your project to [email protected] by the deadline. Project requirement: Projects must be typed using LaTex or Word with a cover page that shows your name and student ID number. The project is an individual work. You are required to complete the project independently. Your project should include all source code used for calcula- tions ( attach all your source code as an appendix ). Project objective: Consider a collective risk model for the total claims in a portfolio for an insurer. Let the number of claims be N and the amount of the k th claim be Y k for k = 1 , 2 , ... . Assume that { Y k , k 1 } is a sequence of i.i.d. positive random variables with common distribution function F ( y ) and common mean μ > 0, and that N is independent of { Y k , k 1 } . Under an excess-of-loss reinsurance with retention level d > 0, the retained loss for the insurer is S I ( d ) = N X k =1 min( Y k , d )
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