UNIVERSIDAD EL BOSQUE

DEPARTAMENTO DE MATEMÁTICAS Y ESTADÍSTICA

Prueba Diagnóstica - Modelos de pérdida y Credibilidad

Nombre:

1. A random variable X has a logarithmic distribution with parameter θ, where 0 <

θ < 1, if its probability function is
−1 θx
P r(X = x) =
log(1 − θ) x

for x = 1, 2, 3, ... Show that

log(1 − θet )
MX (t) =
log(1 − θ)

Hence, or otherwise, find the mean and variance of this distribution.

2. A random variable X has a beta distribution with parameters α > 0 and β > 0 if
its density function is

Γ(α + β) α+1
f (x) = x (1 − x)β−1
Γ(α)Γ(β)

for 0 < x < 1. Show that

Γ(α + β)Γ(n + α)
E[X n ] =
Γ(α)Γ(n + α + β)

and hence find the mean and variance of X.

3. A random variable X has a Weibull distribution with parameters c > 0 and γ > 0
if its density function is
f (x) = cγxγ−1 exp{−cxγ }
for x > 0. Show that X has a distribution function

F (x) = 1 − exp{−cxγ }

for x ≥ 0.

4. An insurer with net worth 100 has accepted (and collected the premium for) a risk
X with the following probability distribution
1
Pr[X = 0] = Pr[X = 51] =
2
What is the maximum amount G it should pay another insurer to accept 100% of
this loss? Assume the first insurer’s utility function of wealth is u(w) = log w.
5. Independent random variables Xk for three lives have the discrete probability func-
tions given below.

x Pr[X1 = x] P r[X2 = x] P r[X3 = x]

0 0.6 0.7 0.6
1 0.0 0.2 0.0
2 0.3 0.1 0.0
3 0.0 0.0 0.4
4 0.1 0.0 0.0

Use a convolution process on the non-negative integer values of x to obtain FS (x)

for x = 0, 1, 2, ..., 12 where S = X1 + X2 + X3 .