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Exam P/1

1st Edition

Alvin Soh

Outline

A) Combinatorial Analysis

B) Basic Probability and Set Theory

C) Conditional Probability and Bayes Formula

D) Discrete Random Variables

E) Discrete Probability Distribution

F) Continuous Random Variables

G) Continuous Probability Distribution

H) Jointly Distributed Random Variables with its Applications

I) Jensen Inequality and Chebyshev’s Inequality

J) Application of Probability in Risk Management

Basic Probabilities and Set Theory

Distributive Law

Basic Probabilities and Set Theory

A B C AC BC

AB C AC BC

Basic Probabilities and Set Theory

De Morgan’s Law

Basic Probabilities and Set Theory

C

n n

Ei Ei

C

i 1 i 1

C

n n

Ei Ei

C

i 1 i 1

Basic Probabilities and Set Theory

Basic Probabilities and Set Theory

n A n AB n AC n AD

Pr A Pr AB Pr AC Pr AD

Conditional Probability and Bayes Formula

Bayes Formula

Conditional Probability and Bayes Formula

Pr AB Pr B | A Pr A

Pr A | B

Pr B

Pr B | A Pr A Pr B | AC Pr AC

Discrete Random Variables

Discrete Random Variables

1. f ( x) Pr( X x)

2. f ( x) 0, x

3. f ( x) 1

x

Discrete Random Variables

k th moment

Discrete Random Variables

E Xk x k f ( x) xk Pr X x

x: f ( x ) 0 x: f ( x ) 0

Discrete Probability Distribution

1. Probability Mass Function

2. Expected Value

3. Variance

Discrete Probability Distribution

n

X ~ Bin n, p , with Pr X x p x 1 p , where

n x

x

x 0,1,..., n , n and p are parameters for this distribution.

E X np Var X np 1 p

Continuous Random Variable

using

“CDF” Method

Continuous Random Variable

Pr Y g X Pr X g 1 Y or Pr X g 1 Y

depending on the function, g

Continuous Random Variable

using

“Inverse Transformation” Method

Continuous Random Variable

fY y f X h y h' y , where h y g 1 y

Continuous Probability Distribution

1. Probability Density Function

2. Expected Value

3. Variance

4. Moment-Generating Function

Continuous Probability Distribution

1 x

e , x0

f x

0 ,

elsewhere

x

1 y

x

F x e dy 1 e

0

E X Var X 2

1

M X t

1t

Application of Probability in Risk Management

payment with deductible

Application of Probability in Risk Management

E X E X ^ d E X d whereby,

d d

E X ^ d xf ( x)dx d f ( x)dx S x dx

0 d 0

E X d x d f ( x)dx S x dx

d d

Application of Probability in Risk Management

Coinsurance

Application of Probability in Risk Management

E Payment E 1 X 1 E X

Application of Probability in Risk Management

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