• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

Risk models

S

Sudeshna Saha

Member
There is a portfolio of 120 risks in a year.One risk has maximum one event . The probability of occurence of an event is .02. The number of claims follow geometric distribution with mean 0.4 given an event. Find the mean and variance of the distribution of number of claims in a year.
 
It sounds to me like we're not given enough information to get to a definitive answer here, so there are a few options open to us. But we can make some reasonably "standard" assumptions and come up with a solution.
Can you see what assumption(s) you need to make in order to turn this into a standard problem in shape of the individual risk model?
 
CapitalActuary said:
It sounds to me like we're not given enough information to get to a definitive answer here, so there are a few options open to us. But we can make some reasonably "standard" assumptions and come up with a solution.
Can you see what assumption(s) you need to make in order to turn this into a standard problem in shape of the individual risk model?
Click to expand...
Can we assume binomial distribution for the risks
 
CapitalActuary said:
It sounds to me like we're not given enough information to get to a definitive answer here, so there are a few options open to us. But we can make some reasonably "standard" assumptions and come up with a solution.
Can you see what assumption(s) you need to make in order to turn this into a standard problem in shape of the individual risk model?
Click to expand...


Find the mean of geometric distribution and multiply that with mean of Bernoulli that will give you mean claim number of one risk
and then multiply that with total risks numbers so you get mean of portfolio.
 
Mohit Gulati said:
Find the mean of geometric distribution and multiply that with mean of Bernoulli that will give you mean claim number of one risk
and then multiply that with total risks numbers so you get mean of portfolio.
Click to expand...
Ok
 
You must log in or register to reply here.
Back
Top