1. Aggregate claims from a risk have a compound Poisson distribution, with Poisson parameter 10 and...
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1. Aggregate claims from a risk have a compound Poisson distribution, with Poisson parameter 10 and the individual claim amount distribution is ex- ponential with mean 100. An insurer charges a premium of 1, 100 to cover this risk, and arranges excess of loss reinsurance with retention level d. The random variable Y denotes aggregate claims paid by the re-insurer, and if the reinsurance premium is given by E[Y] +0.001V [Y], find the reinsurance premium. 2. Aggregate claims S, from a risk have a compound Poisson distribution with Poisson parameter 50 and individual claim X amounts are distributed according to the mixed exponential distribution F(x)=1-0.4e-0.01x 0.6e - -0.02x for x > 0. Calculate approximate values of P(S ≤ 4,500) using a translated gamma approximation. 3. S has a compound negative binomial distribution with negative binomial parameter k = 80 and p = 0.4. Individual claim amounts are lognormally distributed with mean 1 and variance 1.5. Calculate E [S] and V[S]. 1. Aggregate claims from a risk have a compound Poisson distribution, with Poisson parameter 10 and the individual claim amount distribution is ex- ponential with mean 100. An insurer charges a premium of 1, 100 to cover this risk, and arranges excess of loss reinsurance with retention level d. The random variable Y denotes aggregate claims paid by the re-insurer, and if the reinsurance premium is given by E[Y] +0.001V [Y], find the reinsurance premium. 2. Aggregate claims S, from a risk have a compound Poisson distribution with Poisson parameter 50 and individual claim X amounts are distributed according to the mixed exponential distribution F(x)=1-0.4e-0.01x 0.6e - -0.02x for x > 0. Calculate approximate values of P(S ≤ 4,500) using a translated gamma approximation. 3. S has a compound negative binomial distribution with negative binomial parameter k = 80 and p = 0.4. Individual claim amounts are lognormally distributed with mean 1 and variance 1.5. Calculate E [S] and V[S].
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Answer rating: 100% (QA)
1 The reinsurance premium is EY 0001VY 10 100 0001 1000 11001 2 PS 4500 1 04e001 4500 06e002 4500 09... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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