1) (*) Risk 1 produces claims of amounts 100, 1,000, and 20,000 with

probabilities
0.5,
0.3, and 0.2, respectively. For risk 2, the probabilities are 0.7, 0.2, and
0.1.
Risk
1
is
twice
as likely as risk 2 of being observed. A claim of 100 is observed, but
the
observed
risk
is
unknown.
(a) Determine the Bayesian credibility estimate of the expected value
of
the
second
claim amount from the same risk.
Jawab.
Misalkan
N

peubah acak yang menyatakan banyak klaim

N= {100, 10,000,20,000 }

peubah acak yang menyatakan grup risk

Diberikan tabel
Peluang

Banyak Klaim

Risk I
0.5
0.3
0.2

100
1,000
20,000

Risk II
0.7
0.2
0.1

Peluang munculnya klaim Risk I dari populasi pengamatan adalah

2/3 dan peluang munculnya kelas banyak klaim Risk I dari populasi
pengamatan adalah
Akan ditentukan

1/3 .

E[ N ]

sebagai

a. The model :
( N=100=Risk I )= 0. 5
Pr

( N=100=Risk I I ) = 0.7
Pr
b. The prior

E[ E [ N| ]

Pr ( =Risk I ) =2/3
Pr ( =Risk II )=1/3
c. The Joint Distribution
Pr ( N=100=Risk I )Pr ( =Risk I )
Pr ( N=100,=Risk I ) =
Pr ( N=100,=Risk I ) =0.5

( 23 )=1/3

begitu juga dengan

Pr ( N=100,=Risk II )=0. 7

d. The marginal

( 13 )=7/3 0

Pr ( N=100 )

Pr ( N=100 )=Pr ( N =100,=Risk I )+ Pr ( N=100, =Risk II )

Pr ( N=100 )=( 1/3 ) + ( 7 /30 )=17/ 30
e. The posterior
Pr ( =Risk I N=100 ) =

Pr ( N =100,=Risk I )
Pr ( N =100 )

1 /3
17 /30

10/17

Pr ( =Risk I I N=100 )=

Pr ( N=100, =Risk I I )
Pr ( N =100 )
7 /3 0
17 /30

 7/ 17
Diketahui
3

E [ N|=Risk I = ( N =ni ) Pr ( N =ni =Risk I )

i=1

( 1000.5 )+ ( 1,0000.3 )+(20,0000.2)

4350
3

E [ N|=Risk I I = ( N =ni ) Pr ( N=ni=Risk I I )

i=1

( 1000. 7 ) + ( 1,0000. 2 )+ ( 20,0000. 1 )=2270

Dengan demikian

E [ N ] =E[ E [ N| ]
E [ N|=Risk I Pr ( =Risk I N=100 )+
E [ N|=Risk I I Pr ( =Risk I I N =100 )

( 435010
)+( 22707
17
17 )

E [ N ] =3,493.53