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    EXAM STAM Worked Questions from manual

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    © All Rights Reserved
    Download as PDF or read online from Scribd
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    210 views5 pages

    L2 Solutions

    Uploaded by

    Jordana Khan
    EXAM STAM Worked Questions from manual

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    of 5
    ExampLe 2A Claim sizes expressed in dollars follow a two-parameter Pareto distribution with parameters a = 5 and 9 = 90, Aeuro is worth $1.50. Calculate the probability that a claim will be for 20 euros or less. NakX vole c\uiinn 51208 wa Si 22g in ~ Tuo Rureto Ca=s 0290) and VTE since | eusa = 1.6 dollaws LY ~The Pura Parole Coes, = 4-60) sine Oisascale prremube Mlerea PUYS 20) =F Cea) = 1- (G0 © =0.7623 Som Hobbes’ e420) ~~ EXAMPLE 2B Claim sizes expressed in dollars follow a lognormal distribution with parameters 1 =3 and o = 2. __ Aeuro is worth $1.50. Calculate the probability that a claim will be for 100 euros or less. haf’ PAP UG AatXop [ells seas: in claUars armed ~lageorenal C=? o=2) y, . pe ~ EXAMPLE 2€ Claim sizes X initially follow a distribution with density function: vx — Ex(x)=1- Tax x>0 — — Claim sizes are inflated by 50% uniformly. — Calculate the probability that a claim will be for 60 or less after inflation. __ Ack Y pod the increased claims si22 so Y= 1.5 RIEsPCV EG) =PU.S¥ LG0)= PX’ Se) — PCY) = File) § fren tehles : Beladd= '- yo! ~0, cus 3 4! —ExampLe 2D_X follows a two-parameter Pareto distribution with parameters a and 6. You are given— : _ 7 y=in(5+1) Determine the distribution of Y. Yate (=e) SMBH) Dede 44 setij= 3 x5 ole. ) so Fas & Cot) = {oot =)! = oa a} =! 48)" + » 2.1. For acommercial fire coverage Too P. ¢ In 2009, loss sizes follow a Pareto distribution with parameters a =4 and 6. * In 2010, there is uniform inflation at rate r. * The 65th percentile of loss size in 2010 equals the mean loss size in 2009. Determine r. ATES, Th 2000 | logs 5'228% Raho (x=y,0) , T2000, (loss size yer »~ Rarobo Gen Free tien: the 65% Poarehle mona PKK 20 4» 22ee2 so Fy G-o65 y ROE) = me =: 3)t 5.65 sol tere: os 5 o lexi = Ole sn (258 3 Tr (o.asize Ute.ass) T. te : | T= 2e(i-© @3 FP) Now cal = (irre and in 2a EL oll! Co.as)* uel We ae |lold Hod tre st fe 20 in 20102 == (ein foot Se © = try Cle. sy¥) by (35) 4 3 s Cer 0C0.2 3084) =) = 10669 = oot oF 6496 —— 2.2, [4B-S90:37] (2 points) Liability claim severity follows a Pareto distribution with a mean of 25,000 and parameter a=3. If inflation increases all claims by 20%, the probability of a claim exceeding 100,000 increases by what —— amount? (A) Less than 0.02 (B) Atleast 0.02, but less than 0.03 ~~ (C)_ Atleast 0.03, but less than 0.04 — __ D) Atleast 0.04, but tess chan 0.05 (E) Atleast 0.05 Lt Xep | X~ RuretpCusas0,c=3) so FCx'Je o')! = © =2Se00 =) O=50,000 3-7 z [Sans = (See, ere (SLE E and PC# >100, e008) = PCI.2X? 120 2) Pos? 33,280) "5 S322) 3g 029 (Seva ~(S22) SSE ed) = (2) “eed GI Fe So YW ireate « praballily 4 EF - hy -0.01 54 z New PCX >100p06)= 1-F Co gen) =SGo0,cce)= - 2.3, [4B-F97:26] (3 points) You are given the following: ‘* In 1996, losses follow a lognormal distribution with parameters p and o. + In 1997, losses follow a lognormal distribution with parameters 4 +1n k and a, where k is greater than 1 + In 1996, 100p% of the losses exceed the mean of the losses in 1997. a Determine o. ~ Note: zp is the 100pth percentile of a normal distribution with mean 0 and variance 1. — (A) 2ink = Bz fF -2ink = © 2+ fH -Bink a —— @) [#0 2 —2ink = — 6) zoe fp—2ink — Ti 1096 shod Xrep losses 5 Xr beprormah Ciuc) Tia rok Yiop losses; Y~ log nopmad (14 tik o) of mn 1aQ6 2 ECYD Clesses jn 94 ~exo Catlals t=) 00, ECYI= eve Ci Qtak) Pe Also foe po Cp perautily = PCX22)= tee Ci-p) ~ 2.4 (ap.soane) point) You are given the following: ~~ * Losses in 1993 follow the density function fx)=3x4, x21, where x = losses in millions of dollars. "Inflation of 10% impacts all claims uniformly from 1993 to 1994, Determine the probability that losses in 1994 exceed 2.2 million. (A) Less than 0.05 — (B) Atleast 0.05, but less than 0.10 (©) Atleast 0.10, but less than 0.15 (D) Atleast 0.15, but less than 0.20 ~ (BE) Atleast 0.20 | As nblals 15 07+ The scale parameker econ Oz | 2.5. [4B-F95:6] (2 points) You are given the following: ur * In 1994, losses follow a Pareto distribution with parameters 6 =500 and a= 1.5. ~~ * Inflation of 5% impacts all losses uniformly from 1994 to 1995. — What is the median of the portion of the 1995 loss distribution above 200? (A) Less than 600 (B) Atleast 600, but less than 620 (C) Atleast 620, but less than 640 ~ (D) Atleast 640, but less than 660 ~ (E) Atleast 660 Thai lbbed corible ox Sony 1052525 aud = hat-X velo l fxr Porcke (onsen, Ha.5) and bok ¥ rep inreaced se Yr Pinole Co~ses%ris t Naw PCY> 200)~S Geo) = Se =o, 66a ne r boty be dhe dF ofly lyse. — So Ry (an)= (= 0, 60220, a¥3¢ ond FY (y)~ P(¥ey|¥>2m)~ “Peys zee HMGgy ed ye) Fz) Tecale fon we sollte \ rye o o.s =k G4) -h Ge) = Rl)-ozese 26 )=05 Gee2)r0.382" =0.019 t> Fy C20) al sus S25 TS ©. TER by) 0.6910 thes - (GE) = 0,649 => Sesty 20,456 =u = 5 Ds -sasoy 2) ~625.87 (2) J O.4ser — 2.6. [CAS3-S04:34] Claim severities are modeled using a continuous distribution and inflation impacts claims — uniformly at an annual rate of i. Which of the following are true statements regarding the distribution of claim severities after the effect of —— inflation? = 1, An Exponential distribution will have scale parameter (1+1)8 = 2. A2-parameter Pareto distribution will have scale parameters (1+ é)a and (1+ 1)0. 3. AParalogistie distribution will have scale parameter 0 /(1 +i) _— — (A) only (B) 3only (©) land2only —(D) Zand3only —_() 1,2, and3 — i ine owly © is Me scale porombenin a 2p. panoks Bis falsg seca scale pormmotess are mubtipliedby notdirrded lo, te ady| ishus@® ie (ide [4B-S99:17] You are given the following: + fn 1998, claim sizes follow a ard isstBanfon with parameters 8 (unknown) and a =2. + Inflation of 6% affects all claims uniformly from 1998 to 1999, + ris the ratio of the proportion of claims that exceed d in 1999 to the proportion of claims that exceed d in 1998, Determine the limit of r as d goes to infinity. (A) Less than 1.05 (B) Atleast 1.05, but less than 1.10 — (©) Atleast 1.10, but less than 1.15 = (D) Atleast 1.15, but less than 1.20 (@) Atleast 1.20 Pe teonnse 0 sco) xlrd) = ode® Coua)® Gotetd)* 62 2% Gocard\® Coeeed)™ —— 2.8, [4B-F94:28] (2 points) You are given the following: — — * In 1993, the claim amounts for a certain line of business were normally distributed with mean 4 = 1000 — and variance a? = 10,000; J f)= ee ew (-7 (54)') -oo

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