Mini Test

MINISTRY OF EDUCATION AND TRAINING MIDTERM EXAM
NATIONAL ECONOMICS UNIVERSITY Subject: Stochastic Processes

FACULTY OF MATHEMATICAL ECONOMICS Program: Actuary
Actuarial Program Date: 02/11/2021
Time limit: 60 minutes
Q1 Give an aperiodic Markov process with 4 states which has two communicating classes. Com-
pute its stationary distribution. Is that chain recurrent?
Q2 An auto insurance company classifies its customers into three categories: poor (P), satisfac-
tory (S), and excellent (E). Each year customers switch between categories according to the
following transition probability
P S E
P 0.7 0.3 0
S 0.1 0.6 0.3
E 0 0.3 0.7
(a) Given a customer is classified as satisfactory in 2020, what is the probability that it is
classified as exellent in 2022?
(b) What is the limiting fraction of drivers in each of these categories?
Q3 Let N (t) be a Poisson process with rate 23 . Let Tn denote the time of the nth arrival.
(a) Compute the conditional probabilities:

P(N (3) = 7 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
(b) Compute E[T6 ] and E[T6 |N (2) = 1].
Q4 Rock concert tickets are sold at a ticket counter. Females and males arrive at times of inde-
pendent Poisson processes with rates 30 and 20 customers per hour.
(a) What is the probability the first three customers are male?
(b) If exactly 2 customers arrived in the first five minutes, what is the probability both arrived
in the first 3 minutes.
(c) Suppose that customers regardless of sex buy one ticket with probability 1/2, two tickets
with probability 2/5, and three tickets with probability 1/10. Let Ni be the number of
customers that buy i tickets in the first hour. Find the joint distribution of (N1 , N2 , N3 ).
Set 1 Time limit: 60 minutes
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 9 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.3 0.7 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 5 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.5 0.5

P(N (3) = 5 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.7 0.3 0
S 0.1 0.6 0.3
E 0 0.7 0.3

P(N (3) = 10 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 7 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.4 0.6 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 8 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.7 0.3

P(N (3) = 7 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 8 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 6 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 9 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.6 0.4

P(N (3) = 12 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.6 0.4

P(N (3) = 12 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.4 0.6 0
S 0.1 0.6 0.3
E 0 0.7 0.3

P(N (3) = 8 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 10 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.6 0.4

P(N (3) = 6 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.5 0.5

P(N (3) = 9 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.7 0.3 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 8 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.7 0.3 0
S 0.1 0.6 0.3
E 0 0.5 0.5

P(N (3) = 7 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.8 0.2

P(N (3) = 10 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 9 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.2 0.8 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 7 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 9 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.3 0.7 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 7 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.2 0.8 0
S 0.1 0.6 0.3
E 0 0.7 0.3

P(N (3) = 7 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.5 0.5

P(N (3) = 7 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 8 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.4 0.6 0
S 0.1 0.6 0.3
E 0 0.7 0.3

P(N (3) = 10 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.3 0.7 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 11 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.3 0.7 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 7 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 7 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.4 0.6 0
S 0.1 0.6 0.3
E 0 0.6 0.4

P(N (3) = 10 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.8 0.2

P(N (3) = 6 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.2 0.8 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 7 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.8 0.2

P(N (3) = 11 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.2 0.8 0
S 0.1 0.6 0.3
E 0 0.8 0.2

P(N (3) = 8 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 7 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.3 0.7 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 9 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 9 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 8 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 8 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.3 0.7 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 8 | N (1) = 4) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.5 0.5

P(N (3) = 10 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.7 0.3

P(N (3) = 9 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.4 0.6 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 8 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.9 0.1

P(N (3) = 10 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.6 0.4 0
S 0.1 0.6 0.3
E 0 0.4 0.6

P(N (3) = 12 | N (1) = 5) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.5 0.5 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 6 | N (1) = 3) and P(N (2) = 2 | N (4) = 5).
P S E
P 0.1 0.9 0
S 0.1 0.6 0.3
E 0 0.3 0.7

P(N (3) = 8 | N (1) = 2) and P(N (2) = 2 | N (4) = 5).

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MINISTRY OF EDUCATION AND TRAINING MIDTERM EXAM

NATIONAL ECONOMICS UNIVERSITY Subject: Stochastic Processes

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