Risk Models (1 º Sem 2019/2020)

CA (Actuarial Science)

Exercises Link

    Ficheiros

    Review of basic statistical concepts    

    • 3rd edition:    12.3, 12.4, 12.5, 12.6, 12.8, 12.11,12.12, 12.13 + 2 supplementary files        
    • 4th edition:    10.3, 10.4, 10.5, 10.6, 10.8, 10.11,10.12, 10.13 + 2 supplementary files      
     

    Non-parametric estimation    

    • 3rd edition:    13.1 (skip Nelson-Aalen estimate), 13.2, 13.3, 13.4, 13.5, 13.6, 13.7, 13.8,                            13.9, 13.10, 14.13, 14.14, 14.27, 14.28, 14.29, 14.30, 14.31
    • 4th edition:     11.1 (skip Nelson-Aalen estimate), 11.2, 11.3, 11.4, 11.5, 11.6, 11.7, 11.8,                            11.9, 11.10, 12.13, 12.14, 12.27, 12.28, 12.29, 12.30, 12.31

    Frequentist estimation

    • 3rd edition:
      • Section 15.1 -        15.1, 15.2,  15.4,  15.5, 15.9,  15.13
      • Section 15.2 -       15.30, 15.31, 15.33, 15.37, 15.42, 15.46, 15.55, 15.58
      • Section 15.3 -       15.62 (exponential only), 15.66, 15.68, 15.70, 15.71, 15.106 (a) and supplementary exercises 1,2,...,6.
    • 4th edition:
    • Section 13.1 -                   13.1, 13.2,  13.4, 13.5, 13.9,  13.13
    • Section 13.2 -                   13.30, 13.31, 13.33, 13.37, 13.42, 13.46, 13.55, 13.58
    • Section 13.3 -                    13.62 (exponential only), 13.66, 13.68, 13.70, 13.71,          14.3 (a) and supplementary exercises 1,2 ... 6.

     

    Bayesian estimation  

    • 3rd edition:      Section 15.5 - 15.80, 15.81 15.97 (+ determine the probability function for a new observation), 15.98, 15.102 + supplementary exercises 7, 8 ans 9.
    • 4 th edition:      Section 15.1 to 15.3 - 15.3, 15.4, 15.25  (+ determine the probability function for a new observation), 15.26, 15.17 + supplementary exercises 7,8 and 9.

      Model selection    

    • Section 16.3 -        16.1, 16.3
    • Section 16.4 -        16.4, 16.5, 16.6, 16.8, 16.9, 16.11, 16.12 
    • Section 16.5 -        16.22, 16.24    

     

    Simulation

    • 3rd Edition:                       21.1, 21.2, 21.4, 21.7 (describe the procedure before applying simulation) , 21.12 (computer needed for question b), 21.16    
    • 4th edition:                       20.1, 20.2, 20.3, 20.8, 20.11 (describe the procedure before applying simulation) , 20.16 (computer needed for question b), 20.20

    Bootstrap   (Where apropriate describe the procedures to be applied)

    • From "Loss Models" 3d edition: 21.11     4th edition: 20.15  
    • From "Bootstraps Methods and Permutation Tests":     
      • (file spending.prn) 18.3 , 18.5, 18.7, 18.8, 18.10, 18.11 (+ For exercises 18.10 and 18.11 determine a percentile CI for themean),     redo exercise 18.11 assuming that "spending" follows a gamma distribution),
      • (file CEO.prn)         18.20 (b) (c)                
      • (file IOWA.prn)           18.43