Latihan Bab 8

Annissa Yulia Nadila – 2106644030 - C

 8.29

A group life insurance policy has an accidental death rider. For ordinary deaths, the benefit is 10,000;
however, for accidental deaths, the benefit is 20,000. The insureds are approximately the same age, so it is
reasonable to assume that they all have the same claim probabilities. Let them be 0.97 for no claim, 0.01 for
an ordinary death claim, and 0.02 for an accidental death claim. A reinsurer has been asked to bid on
providing an excess reinsurance that will pay 10,000 for each accidental death.
(a) The claim process can be modeled with a frequency component that has the Bernoulli distribution (the
event is claim/no claim) and a two-point severity compo nent (the probabilities are associated with the two
claim levels, given that a claim occurred). Specify the probability distributions for the frequency and severity
random variables.
(b) Suppose that the reinsurer wants to retain the same frequency distribution. Deter mine the modified
severity distribution that will reflect the reinsurer's payments.
(c) Determine the reinsurer's frequency and severity distributions when the severity distribution is to be
conditional on a reinsurance payment being made.
Diketahui :

Jawaban :
a.)
Probabilitas untuk manfaat 10.000

Probabilitas untuk manfaat 20.000

b.)
c.) Untuk frekuensi probabilitas klaim nya adalah 0.02 dan distribusi severity menempatkan probabilitas 1
pada 10.000
 8.30

Individual losses have a Pareto distribution with and With a deductible

of 500, the frequency distribution for the number of payments is Poisson
inverse Gaussian with and . If the deductible is raised to 1.000,
determine the distribution for the number of payments. Also, determine
the pdf of the severity distribution (per payment) when the new
deductible is in place.
Distribusi frekuensi P-ETNB dengan
Distribusi frekuensi P-ZMNB dengan
Hal ini setara dengan P-ETNB, dengan;

Dimana P-IG dengan

Sehingga Distribusi Severity baru memiliki CDF:
Lalu kita mendapatkan PDF nya:
Dimana Pareto dengan
 8.31

Losses have a Pareto distribution with and . The frequency distribution

for a deductible of 500 is zero-truncated logarithmic with . Determine a
model for the number of payments when the deductible is reduced to 0.
Distribusi Pareto
Zero – Truncated Logaritmic
Jawaban :
Misalkan , dimana

Nilai akan menjadi negative sehingga tidak ada frekuensi yang sesuai distribusi untuk
menggambarkan efek menurunkan deductible.
 8.33

(*) The frequency distribution for the number of losses when there is no
deductible is negative binomial with and . Loss amounts have a Weibull
distribution with and Determine the expected number of payments
when a deductible of 200 is applied.
Misalkan
X = Jumlah kerugian dalam polis, dimana
N = Jumlah pembayaran dengan deductible 200, dimana

Sehingga expected dari jumlah pembayaran dengan deductible 200 adalah:

Terima Kasih