Problem Points S C O R E Total: 120

Transcription

1 PSTAT 160 A Final Exam December 10, 2015 Name Student ID # Problem Points S C O R E Total: 120

2 1. (10 points) Take a Markov chain with the state space {1, 2, 3, 4} and transition matrix A = Find P(X 2 = 4), if the initial distribution is P(X 0 = 1) = 0.3, P(X 0 = 2) = 0.4, P(X 0 = 3) = 0, P(X 0 = 4) = 0.3.

3 2. (10 points) Fix the parameters N 1 = 10000, N 2 = 5000, N 3 = 2000, λ 1 = 2, λ 2 = 3, λ 3 = 5. Assume that an insurance company has N 1 clients with claims distributed as Poisson with parameters λ 1 : Poi(λ 1 ), N 2 clients with claims Poi(λ 2 ), and N 3 clients with claims Poi(λ 3 ). Suppose that this company wants to assign a premium to each client proportional to the mean amount (expected value) of his claim, so that this client pays this premium. The company wants to collect enough money from the premiums so that it can pay all the claims with probability greater than or equal to 99%. Find the premium for each client.

4 3. (10 points) Find all stationary distributions for the Markov chain with the transition matrix A =

5 4. (10 points) Toss a fair coin repeatedly. Let F n be the σ-subalgebra generated by the first n results, F 0 := {, Ω}. Let X n be the number of Heads during the first n tosses for n = 1, 2,... and X 0 := 0. Find a constant c such that the process (Y n ) n 0 is an (F n ) n 0 -martingale: Y n := 3X n cn, n = 0, 1, 2,...

6 5. (10 points) Consider the probability space Ω = {0, 1, 2,..., 11} with three random variables { { { 1, ω 5; 1, ω is even; 12, ω = 6, a, b; X(ω) = Y (ω) = Z(ω) = 2, ω 6, 10, ω is odd, 12, else. Here, a, b Ω are some elements, a < b. Find the values of a and b such that Z is measurable with respect to the σ-sublagebra F := σ(x, Y ) generated by X and Y.

7 6. (10 points) Consider the following independent random variables: X n N (0, 3 n ), n = 1, 2,... Show that for all N = 1, 2,..., we have: P ( max ( 0, X 1, X 1 + X 2,..., X X N ) 6 ) 1 72.

8 7. (10 points) Take i.i.d. random variables X 1, X 2,..., as well as a Poisson random variable τ Poi(λ), independent of X 1, X 2,... Assume EX i = µ, Var X i = σ 2, Ee tx i = ϕ(t) for t R. Consider the following sum: τ S = X k. k=1 Show that the Ee ts = e λ(ϕ(t) 1) for t R. Using this, express ES and Var S as combinations of µ, σ 2, and λ.

9 8. (10 points) Consider the following Markov chain: A = For each transient state i, find the mean time m i spent in i if you start from i.

10 9. (10 points) For a random walk (X n ) n 0, starting from X 0 = 2, with p = 0.4, q = 0.6, find P ( X 6 = 0, X 12 = 2, X n 2, n = 0,..., 12 ).

11 10. (10 points) Find the probability that the Markov chain, starting from 3, hits 4 before hitting 1: A =

12 11. (10 points) Chebyshev s inequality states that, for λ > 0 and a random variable X, we have: P ( X EX λ) Var X λ 2. For λ = 2, find an example of X which turns it into an equality, but with positive left- and right-hand sides.

13 12. (10 points) Suppose the company has N 1 = clients, which have car insurance for n 1 = 10 years, and N 2 = clients, which have car insurance for n 2 = 12 years. In each group, three-quarters of the clients are careful drivers, and one-quarter are wild drivers. Each month, a careful driver can have an accident with probability p 1 = , and a wild driver can have an accident with probability p 2 = All accidents occur independently. For each accident, the company has to pay 1000$. The company wants to collect enough money from the premiums so that it can pay all the claims with probability greater than or equal to 95%. Find the amount of money needed to do this.

14 Cumulative Probabilities of the Standard Normal Distribution The table gives the probabilities α = Φ(z) to the left of given z values for the standard normal distribution. For example, the probability that a standard normal random variable Z is less than 1.53 is found at the intersection of the 1.5 rows and the 0.03 column, thus Φ(1.53) = P (Z 1.53) = Due to symmetry it holds Φ( z) = 1 Φ(z) for all z. z Quantiles of the Standard Normal Distribution For selected probabilities α, the table shows the values of the quantiles z α such that Φ(z α ) = P (Z z α ) = α, where Z is a standard normal random variable. The quantiles satisfy the relation z 1 α = z α. α z α