Homework #1 RMI 8050 Review of Probability and Statistics
This homework is due on September 8, 2016. Email it please, hard copy only in an
1. A probability distribution for the claim sizes for an auto insurance policy is given in the
Simulation Practice Problems
The problems I give you will test your understanding of the basic method of transforming
a random draw from [0,1] into a random draw from a given distribution of interest. (You
may have also have to know some of the properties
RMI 8050 Homework #3 - Due before class on September 29. You may use Excel.
Suppose X is distributed Gamma (as defined in class and by Hassett and Stewart) with alpha=2
and beta=3. Find E(X) and Pr(0.5 < X < 0.7). Remember that you need to invert the b
RMI 8050 Homework #2 Due by email or in hard copy BEFORE class on September 15.
You may use Microsoft Excel to answer these questions. Show enough work/explain or give me the
spreadsheet so I can see what you did in case you get the number wrong.
RMI 8050 Project #1 Due Date TBA
The spreadsheet provided contains annual one-year default rates on speculative grade (a.k.a. junk)
bonds from 1920 to 2012, taken from Exhibit 30 of Moodys Default Study.
Fit Gamma, Beta , AND Lognormal distributions to
In this project, I used two different approaches to fit the data set into 3 distributions.
I first used Method of Moments to fit data into Lognormal, Gamma and Beta
With Method of Moments and default rate in percentage, Gamma Distr
The population of the U.S. is about 300 million people. By one estimate, the number of
people in the U.S. infected with HIV is about 1.2 million. By one estimate, the number of
people engaging in intravenous drug use in the U.S. is about 1.4 mill