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Tutorial 2

The document outlines a tutorial for Actuarial Statistics covering various topics such as joint distributions, conditional expectation, and central limit theory. It includes problems related to joint density functions, marginal and conditional PDFs, covariance, and distributions of claims in insurance. Additionally, it addresses the Central Limit Theorem and provides exercises involving probabilities and distributions of random variables.

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4 views

Tutorial 2

The document outlines a tutorial for Actuarial Statistics covering various topics such as joint distributions, conditional expectation, and central limit theory. It includes problems related to joint density functions, marginal and conditional PDFs, covariance, and distributions of claims in insurance. Additionally, it addresses the Central Limit Theorem and provides exercises involving probabilities and distributions of random variables.

Uploaded by

hwezvamunyaradzi
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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NATIONAL UNIVERSITY OF SCIENCE AND TECHNOLOGY

DEPARTMENT OF INSURANCE AND ACTUARIAL SCIENCE

ACTUARIAL STATISTICS

TUTORIAL II (JOINT DISTRIBUTIONS, CONDITIONAL EXPECTATION AND CENTRAL LIMIT


THEORY)

1. Let X and Y have joint density function given by; f(x,y) = c(x+3y) for 0<x<2, 0<y<2

i. Calculate the value of c


ii. Hence calculate P(x<1, Y>0.5)

2. The continuous random variables X, Y have the bivariate PDF: f(x,y) = 2 for x+y<1, x>0, y>0

i. Derive the marginal PDF of Y.


ii. Use the result from part (i) to derive the conditional PDF of X given Y  y.

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3. Let X and Y have joint density function: f(x,y) = (3𝑥 2 + 𝑥𝑦) for 0<x<1, 0<y<1. The covariance of X and Y
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4. Claim sizes on a home insurance policy are normally distributed about a mean of £800 and with a standard
deviation of £100. Claims sizes on a car insurance policy are normally distributed about a mean of £1,200 and
with a standard deviation of £300. All claims sizes are assumed to be independent.

To date, there have already been home claims amounting to £800, but no car claims. Calculate the probability
that after the next 4 home claims and 3 car claims the total size of car claims exceeds the total size of the home
claims.

5. Show using convolutions that if X and Y are independent random variables and X 2m has distribution and Y has
a 2n distribution, then X Y has a 2m+n distribution.

6. X has a Poisson distribution with mean 5 and Y has a Poisson distribution with mean 10. If Cov (x,y)=12.
Calculate the variance of Z where Z  X - 2Y + 3.

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7. Let X and Y have joint density function given by: f(x,y) = 𝑥(𝑥 + 𝑦) for 0<x<1, 0<y<2. Determine the conditional
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expectation E[Y|X=x].

8. Use continuous distributions to prove that they confirm that E[Y]  E[E[(Y|X)].

9. The random variable K has an Exp() distribution. For a given value of K, the random variable X has a Poisson(K)
distribution. Obtain an expression for var[X|K]. Hence derive an expression for var(X).

10. The table below shows the bivariate probability distribution for two discrete random variables X and Y:
X=0 X=1 X=2

Y=1 0.15 0.20 0.25

Y=2 0.05 0.15 0.20


i. Explain whether the distributions of X and Y are independent.
ii. Derive the marginal distribution of X
iii. Calculate E [(X|Y = 2)]

11. State the Central Limit Theory.

It is assumed that the number of claims arriving at an insurance company per working day has a mean of 40 and
a standard deviation of 12. A survey was conducted over 50 working days. Calculate the probability that the
sample mean number of claims arriving per working day was less than 35.

12. Calculate the approximate probability that the mean of a sample of 10 observations from a Beta (10,10) random
variable falls between 0.48 and 0.52.

13. Consider a random sample of size 16 taken from a normal distribution with mean   25 and variance 2  4. Let
the sample mean be denoted θ. State the distribution of θ and hence calculate the probability that θ assumes a
value greater than 26.

14. X1, X2,….Xn are independent and identically distributed Gamma(,) random variables. Show, using moment
generating functions, that θ has a Gamma (n, n) distribution.

If the random variable T, representing the total lifetime of an individual light bulb, has an Exp() distribution,
where   1/2,000 hours, calculate the probability that the average lifetime of 10 bulbs will exceed 4,000 hours.

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