SPA Assignment 6

1. Claims arrive at an insurance company following a Poisson process N (t) with λ = 1 claim
per day.

(a) Calculate the probability that, over five days, the company receives exactly five
claims.
(b) Calculate the probability that, over five days, the company receives exactly one claim
each day.

2. Suppose {N (t), t ≥ 0} is a Poisson process with rate λ. Let Sn be the arrival time of the
n-th event. Please calculate:

(a) E(S4 );
(b) E(N (4) − N (2) | N (1) = 3).

3. Suppose {N (t), t ≥ 0} is a Poisson process with rate λ = 2. Please calculate:

(a) P (N (1) ≤ 2);

(b) P (N (1) = 1, N (2) = 3).

4. Suppose {N (t), t ≥ 0} is a Poisson process with rate λ = 2. Please calculate:

(a) P (N (3) = 6 | N (1) = 2);

(b) E(N (1)N (2)).