ASSIGNMENT #3

PENGANTAR TEORI RISIKO AKTUARIA 1

Due date: Friday, September 9, 2016 11:59PM

1. A portfolio of 10.000 risks produced the claims counts as provided in the following
table

No. of claims No. of policies

0 9.048
1 905
2 45
3 2
4+ 0

Determine the most appropriate model from the (a, b, 0) class!

2. Claim frequency follows a distribution in the (a, b, 0) class. You are given that

(i) The probability of 4 claims is 0,066116

(ii) The probability of 5 claims is 0,068761
(iii) The probability of 6 claims is 0,068761

Calculate the probability of no claims.

3. A random variable N follows an extended truncated negative binomial distribution.

You are given:

(i) P r(N = 0) = 0
(ii) P r(N = 1) = 0, 6195
(iii) P r(N = 2) = 0, 1858
(iv) P r(N = 3) = 0, 0836

Calculate the mean of the distribution.

4. Dental insurance company sells a policy that covers two types of dental procedures:
root canals and fillings. There is a limit of 1 root canal per year and a separate
limit of 2 fillings per year. The number of root canals a person needs in a year
follows a Poisson distribution with λ = 1, and the number of fillings a person needs
in a year is Poisson with λ = 2. The company is considering repaling the single
limits with a combined limit of 3 claims per year, regardless of the type of claims.
Determine the change in the expected number of claims per year if the combined
limit is adopted.

5. A random variable follows a zero-truncated Poisson distribution with λ = 0, 8.

Calculate the third raw moment of the distribution.
6. The number of claims a particular policyholder makes in a year has a Poisson
distribution with mean Λ = λ. Λ follows a gamma distribution with variance equal
to 0,2. The resulting distribution of policyholders by number of claims is a negative
binomial with parameter r and β such that the variance is equal to 0,,5. What is
the value of r(1 + β).

7. The number of students having the flu in a particular college follows a geometric
distribution with
β = 0, 4. What is the difference between the following two values:

(A) The expected number of students having the flu in excess of 3 if it is known
that the number of students having the flu is greater than 6.
(B) The expected number of students having the flu in excess of 2 if it is known
that the number of students having the flu is greater than 2.

8. An automobile insurance policy provides benefits for accidents. Data on 1000 poli-
cies revealed the information as provided in the following table

No. of claims No. of policies

0 861
1 121
2 13
3 3
4 1
5 0
6 1
7+ 0

Determine the most appropriate model from the (a, b, 0) class!

Page 2