Pengantar Individual Risk Models For a Short Term Exercise Penutup

Matematika Aktuaria I

Pertemuan ke-1, 12 Pebruari 2014

Departemen Matematika FMIPA IPB

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Penjelasan Umum

Deskripsi Singkat dan TIU

Deskripsi Singkat
Mata kuliah ini membahas terapan matematika yang
berhubungan dengan aktuaria untuk pekerjaan di asuransi jiwa,
dana pensiun, asuransi kesehatan, dan asuransi umum.
Topik yang dibahas: model risiko individu jangka pendek,
sebaran survival dan tabel hayat, asuransi hidup, anuitas hidup,
premi, dan cadangan premi (benefit reserves).
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Penjelasan Umum

Deskripsi Singkat dan TIU

Tujuan Instruksional Umum

Setelah mengikuti perkuliahan ini, mahasiswa dapat
menjelaskan:
Model risiko individu jangka pendek dan aplikasinya dalam
bidang asuransi.
Sebaran bertahan hidup dengan berbagai karakteristiknya,
menjelaskan fungsi-fungsi yang terkait tabel hayat, dan
keterkaitan antar keduanya.
Jenis-jenis asuransi hidup, jenis-jenis anuitas hidup, baik
dengan waktu kontinu dan waktu diskret.
Penentuan besar premi dan cadangan premi untuk
beberapa jenis asuransi, baik dengan waktu kontinu dan
waktu diskret.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Penjelasan Umum

Pustaka

1 Bowers NL, Gerber HU, Hickman JC, Jones DA, Nesbitt

CJ. 1997. Actuarial Mathematics. The Society of
Actuaries. Schaumburg, Illinois.
2 Gerber HU. 1997. Life Insurance Mathematics. Swiss
Association of Actuaries Zurich. Springer-Verlag, New
York.
3 Cunningham R, Herzog T, Richard L. 2006. Model for
Quantifying Risk (Second Edition). London.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Penjelasan Umum

Penentuan Nilai Akhir dan Huruf Mutu

Nilai Akhir (NA)
UTS (40%)
UAS (40%)
Tugas + Kuis + Proyek (20%)

Huruf Mutu
A : NA ≥ 75
AB : 70 ≤ NA < 75
B : 60 ≤ NA < 70
BC : 50 ≤ NA < 60
C : 40 ≤ NA < 50
D : 25 ≤ NA < 40
E : NA < 25
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Introduction

For an insuring organization, let the random loss of a segment

of its risks be denoted by S. Then S is the random variable for
which we seek a probability distribution. Historically, there have
been two sets of postulates for distributions of S. The individual
risk model defines

S = X1 + X2 + · · · + Xn

where Xi is the loss on insured unit i and n is the number of risk

units insured. Usually the X ’s are postulated to be independent
random variables, because the mathematics is easier and no
historical data on the dependence relationship are needed.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

First, we review basic concepts with a life insurance

product. In a one-year term life insurance the insurer
agrees to pay an amount b if the insured dies within a year
of policy issue and to pay nothing if the insured survives
the year.
The probability of a claim during the year is denoted by q.
The claim random variable, X , has a distribution that can
be described by either its probability function, p.f., or its
distribution function, d.f.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

The p.f. is

 1−q , x =0
fX (x) = Pr (X = x) = q , x =b
0 , elsewhere.


The d.f. is

 0 , x <0
FX (x) = Pr (X ≤ x) = 1−q , 0≤x <b
1 , x ≥ b.


E(X ) = bq, E(X 2 ) = b2 q, and Var (X ) = b2 q(1 − q).

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

Random variable X can be noted by X = Ib,

b is the constant amount payable in the event of death,
I is the random variable that is 1 for the event of death and
0 otherwise.
Thus, Pr (I = 0) = 1 − q, Pr (I = 1) = q, so that E(I) = q
and Var (I) = q(1 − q).
E(X ) = bE(I) = bq,
Var (X ) = b2 Var (I) = b2 q(1 − q).
Note: I is called an indicator, Bernoulli random variable, or
binomial random variable for a single trial.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

We now seek more general models in which the amount of

claim is also a random variable and several claims can occur in
a period. Health, automobile, and other property and liability
coverages provide immediate examples.
Random variable X can be noted by X = IB,
B is the random variable for the total claim amount incurred
during the period,
I is the random variable for the event that at least one claim
has occurred.
If we define µ = E(B|I = 1) and σ 2 = Var (B|I = 1),
then we have
E(X ) = µq
Var (X ) = µ2 q(1 − q) + σ 2 q
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

Prove: E(X ) = µq
Use formula E(X ) = E(E(X |I)).
X = IB.
If I = 0, X = 0, so that E(X |I = 0) = E(0) = 0.
If I = 1, X = B, so that E(X |I = 1) = E(B|I = 1) = µ.
E(X |I) = µI
E(X ) = E(E(X |I)) = E(µI) = µE(I) = µq.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

Prove: Var (X ) = µ2 q(1 − q) + σ 2 q

Use formula Var (X ) = Var (E(X |I)) + E(Var (X |I)).
X = IB.
If I = 0, X = 0, so that Var (X |I = 0) = Var (0) = 0.
If I = 1, X = B, so that Var (X |I = 1) = Var (B|I = 1) = σ 2 .
Var (X |I) = σ 2 I ⇒ E(Var (X |I)) = E(σ 2 I) = σ 2 q.
E(X |I) = µI
⇒ Var (E(X |I)) = Var (µI) = µ2 Var (I) = µ2 q(1 − q).
Var (X ) = Var (E(X |I)) + E(Var (X |I)) = µ2 q(1 − q) + σ 2 q
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

Example 1.1
Suppose we have the p.d.f. for B given I = 1 by
x


0.0009 1 − 2000 , 0 < x < 2000,
fB|I (x|1) =
0 , elsewhere,

with Pr (B = 2000|I = 1) = 0.1 and Pr (I = 1) = q = 0.15.

Calculate E(X ) and Var (X ).
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Models for Individual Claim Random Variables

Solution:
µ = E(X |I = 1) = E(B|I = 1) =
R 2000 x


0 0.0009 x 1 − 2000 dx + (0.1)(2000) = 800.
E(X 2 |I = 1) = E(B 2 |I = 1) =
R 2000 x
0.0009 x 2 1 − 2000 dx + (0.1)(2000)2 = 1000000,


0
σ = E(X |I = 1) − [E(X |I = 1)]2 = 1000000 − (800)2 =
2 2

360000.
E(X ) = µq = (800)(0.15) = 120.
Var (X ) = µ2 q(1 − q) + σ 2 q =
(800)2 (0.15)(0.85) + (360000)(0.15) = 135600.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

S = X + Y , where X and Y are discrete random variables.

The d.f. of S is

FS (s) = Pr (S ≤ s) = Pr (X + Y ≤ s)

X
FS (s) = Pr (X + Y ≤ s|Y = y )Pr (Y = y )
∀y ≤s
X
= Pr (X ≤ s − y |Y = y )Pr (Y = y )
∀y ≤s
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

When X and Y are independent, this last sum can be

written
X
FS (s) = FX (s − y )fY (y ).
∀y ≤s

The p.f. corresponding to this d.f. can be calculated by

X
fS (s) = fX (s − y )fY (y ).
∀y ≤s
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

S = X + Y , where X and Y are kontinu random variables.

When X and Y are independent, the d.f. of S can be
written
Z s
FS (s) = FX (s − y )fY (y ) dy .
0

The p.f. corresponding to this d.f. can be calculated by

Z s
fS (s) = fX (s − y )fY (y ) dy .
0

Note: This operation is called convolution process.

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

To determine the distribution of the sum of more than two

random variables, we can use the convolution process
iteratively. For S = Xl + X2 + · · · + Xn where Xi are independent
random variables, Fi is the d.f. of Xi and F (k ) is the d.f. of
Xl + X2 + · · · + Xk , we proceed thus:

F (2) = F2 ∗ F (1) = F2 ∗ F1
F (3) = F3 ∗ F (2)
F (4) = F4 ∗ F (3)
..
.
F (n) = Fn ∗ F (n−1)
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Example 1.2
The random variables X1 , X2 , and X3 are independent with
distributions defined by

x f1 (x) f2 (x) f3 (x)

0 0.4 0.5 0.6
1 0.3 0.2 0.0
2 0.2 0.1 0.1
3 0.1 0.1 0.1
4 0.1 0.1
5 0.1

Derive the p.f. and d.f. of S = X1 + X2 + X3 .

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.2
S2 = X1 + X2 ⇒ f (2) (s), s = 0, . . . , 7
s
X
f (2) (s) = f1 (s − x)f2 (x)
x=0

f (2) (0) = f1 (0)f2 (0) = (0.4)(0.5) = 0.20

f (2) (1) = f1 (1)f2 (0) + f1 (0)f2 (1) = 0.23
f (2) (2) = f1 (2)f2 (0) + f1 (1)f2 (1) + f1 (0)f2 (2) = 0.20
f (2) (3) = 0.16; f (2) (4) = 0.11; f (2) (5) = 0.06;
f (2) (6) = 0.03; f (2) (7) = 0.01.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.2 (Continued)

S3 = X1 + X2 + X3 = S2 + X3 ⇒ f (3) (s), s = 0, . . . , 12
s
X
f (3) (s) = f (2) (s − x)f3 (x)
x=0

f (3) (0) = f (2) (0)f3 (0) = (0.4)(0.5) = 0.12

f (3) (1) = f (2) (1)f3 (0) + f (2) (0)f3 (1) = 0.138
f (3) (2) = f (2) (2)f3 (0) + f (2) (1)f3 (1) + f (2) (0)f3 (2) = 0.14
f (3) (3) = 0.139; f (3) (4) = 0.129; f (3) (5) = 0.115; f (3) (6) =
0.088; f (3) (7) = 0.059; f (3) (8) = 0.036; f (3) (9) =
0.021; f (3) (10) = 0.01; f (3) (11) = 0.004; f (3) (12) = 0.001.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Example 1.3
Let Xi for i = 1, 2 be independent and identically distributed
with the d.f.

 0 , x <0
F (x) = x , 0≤x <1
1 , x ≥ 1.


Let S = X1 + X2 . Find the p.f. and d.f. of S.

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.3
The d.f. for S can be find by formula
Z x
FS (x) = F1 (x − y )f2 (y ) dy
0
,
For x < 0, FS (x) = 0.
For 0 ≤ x < 1,
Z x Z x
FS (x) = F1 (x − y )f2 (y ) dy = (x − y )(1) dy
0 0
x2
= .
2
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.3 (Continued)

For 1 ≤ x < 2,
Z x−1 Z 1
FS (x) = F1 (x − y )f2 (y ) dy + F1 (x − y )f2 (y ) dy
0 x−1
Z x−1 Z 1
= (1)(1) dy + (x − y )(1) dy
0 x−1
x2
= −1 + 2x − .
2
For x ≥ 2, FS (x) = 1.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.3 (Continued)

Finally, the d.f. and p.f. of S are


 0 , x <0
 x2

2 , 0≤x <1
FS (x) = x2


 −1 + 2x − 2 , 1≤x <2
 1 , x ≥2

 x , 0<x <1
fS (x) = 2−x , 1≤x <2
0 , otherwise.


∂FS (x)
Note: fS (x) = ∂x .
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Example 1.4
Consider three independent random variables X1 , X2 , X3 . For
i = 1, 2, 3, Xi has an exponential distribution and E[Xi ] = 1/i.
Derive the p.f. of S = X1 + X2 + X3 by the convolution process.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.4
We have p.f. of X1 , X2 , and X3 are
 −x
e , x >0
f1 (x) =
0 , otherwise
2e−2x

, x >0
f2 (x) =
0 , otherwise
3e−3x

, x >0
f3 (x) =
0 , otherwise.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.4 (Continued)

S2 = X1 + X2 ⇒ note that f (2) (x) is p.f. of S2

We have
Z x
(2)
f (x) = f1 (x − y )f2 (y ) dy
Z0 x
= e−(x−y ) 2e−2y dy
0
Z x
−x
= 2e e−y dy
0
−x
= 2e − 2e−2x , x > 0.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.4 (Continued)

S = X1 + X2 + X3 = S2 + X3 ⇒ note that f (3) (x) is p.f. of S

We have
Z x
(3)
fS (x) = f (x) = f (2) (x − y )f3 (y ) dy
0
Z x
= (2e−(x−y ) − 2e−2(x−y ) )3e−3y dy
0 Z x   Z x 
−x −2y −2x −y
= 6e e dy − 6e e dy
0 0
−x −2x −3x
= 3e − 6e + 3e , x > 0.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Example 1.5
Let X have a uniform distribution on (0, 2) and let Y be
independent of X with a uniform distribution over (0, 3).
Determine the d.f. of S = X + Y .
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.5
We have p.f. of X and Y are

1  1
(
, 0<x <2 , 0<y <3
f1 (x) = ; f2 (y ) =
2
0 , otherwise  03 , otherwise

and the d.f. of X is


 0x
 , x <0
F1 (x) = , 0≤x <2
 2

1 , x ≥ 2.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.5 (Continued)

Case A: s < 0, FS (s) = 0.
Case B: 0 ≤ s < 2,
Z s
FS (s) = F1 (s − y )f2 (y ) dy
0
s
s−y 1
Z
= dy
0 2 3
s2
= .
12
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.5 (Continued)

Case C: 2 ≤ s < 3,
Z s
FS (s) = F1 (s − y )f2 (y ) dy
0
Z s−2 Z s
= F1 (s − y )f2 (y ) dy + F1 (s − y )f2 (y ) dy
0 s−2
s−2 s
s−y 1
Z Z
1
= (1) dy + dy
0 3 s−2 2 3
s−1
= .
3
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.5 (Continued)

Case D: 3 ≤ s < 5,
Z s
FS (s) = F1 (s − y )f2 (y ) dy
0
Z s−2 Z 3
= F1 (s − y )f2 (y ) dy + F1 (s − y )f2 (y ) dy
0 s−2
s−2 3
s−y 1
Z Z
1
= (1) dy + dy
0 3 s−2 2 3

−s2 + 10s − 13
= .
12
Case E: s ≥ 5, FS (s) = 1.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.5 (Continued)

Finally we have


 0 , s<0
s2


, 0≤s<2



 12


s−1
FS (s) = , 2≤s<3
 3
−s2 + 10s − 13



, 3≤s<5


12



1 , s ≥ 5.

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Moment Generating Function

Another method to determine the distribution of the sum of
random variables is based on the uniqueness of the
moment generating function (m.g.f.), which, for the random
variable X , is defined by MX (t) = E[etX ].
If this expectation is finite for all t in an open interval about
the origin, then MX (t) is the only m.g.f. of the distribution of
X , and it is not the m.g.f. of any other distribution.
This uniqueness can be used as follows. For the sum
S = X1 + X2 + · · · + Xn ,

MS (t) = E(etS ) = E(et(X1 +X2 +···+Xn ) )

= E(etX1 etX2 · · · etXn ).
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Moment Generating Function

If X1 , X2 , . . . , Xn are independent, then the expectation of
the product is equal to

MS (t) = E(etX1 )E(etX2 ) · · · E(etXn )

= MX1 (t)MX2 (t) · · · MXn (t).

Recognition of the unique distribution corresponding this

formula would complete the determination of S’s
distribution.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Example 1.6
Consider three independent random variables X1 , X2 , X3 . For
i = 1, 2, 3, Xi has an exponential distribution and E[Xi ] = 1/i.
Derive the p.d.f. of S = X1 + X2 + X3 by recognition of the m.g.f.
of S.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.6
M.g.f. of X1 is Z ∞
1
MX1 (t) = E[etX1 ] = etx e−x dx = , t < 1.
0 1−t
2
M.g.f. of X2 and X3 are MX2 (t) = and
2−t
3
MX3 (t) = , t < 1.
3−t
M.g.f. of S is
3    
Y 1 2 3
MS (t) = MXi (t) =
1−t 2−t 3−t
i=1
3 6 3
= − + (by method of partial fraction)
1−t 2−t 3−t
P.d.f of S is fS (x) = 3e−x − 3(2e−2x ) + (3e−3x ), x > 0.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Example 1.7
Consider n independent random variables X1 , X2 , . . . , Xn . For
i = 1, 2, . . . , n, Xi has a normal distribution with mean µ and
variance σ 2 . Derive the p.d.f. of S = X1 + X2 + · · · + Xn by
recognition of the m.g.f. of S.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Sums of Independent Random Variables

Solution 1.7
We have Xi ∼ normal(µ, σ 2 ). The p.d.f. of normal
distribution is
1 (x−µ)2
−
fXi (x, µ, σ 2 ) = √ e 2σ 2 , −∞ < x < ∞.
2πσ
σ2 2
M.g.f. of Xi is MXi (t) = eµt+ 2 t .
nσ 2 2
M.g.f. of S is MS (t) = ni=1 MXi (t) = enµt+ 2 t
Q

Finally we have S ∼ normal(nµ, nσ 2 ).

Pengantar Individual Risk Models For a Short Term Exercise Penutup

FINISH
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Exercises

1 Obtain the mean and variance of the claim random

variable X where q = 0.05 and the claim amount random
variable B is uniformly distributed between 0 and 20.
2 Let X be the number showing when one true die is thrown.
Let Y be the number of heads obtained when X true coins
are then tossed. Calculate E[Y ] and Var (Y ).
3 The probability of a fire in a certain structure in a given
time period is 0.02. If a fire occurs, the damage to the
structure is uniformly distributed over the interval (0, a)
where a is its total value. Calculate the mean and variance
of fire damage to the structure within the time period.
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Exercises

4 Independent random variables Xk for three lives have the

discrete probability functions given below.
x Pr (X1 = x) Pr (X2 = x) Pr (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, . . . , 9 where
S = X1 + X2 + X3 .
Pengantar Individual Risk Models For a Short Term Exercise Penutup

Exercises

5 Let Xi for i = 1, 2, 3 be independent and identically

distributed with the d.f.

 0 , x <0
F (x) = x , 0≤x <1
1 , x ≥ 1.


Let S = X1 + X2 + X3 . Find p.f. and d.f. for S.

Pengantar Individual Risk Models For a Short Term Exercise Penutup

Exercises

Show that FS (x) is given by


 0 , x <0
x3



, 0≤x <1


 63



FS (x) = x − 3(x − 1)3
, 1≤x <2
 6
x 3 − 3(x − 1)3 + 3(x − 2)3



, 2≤x <3




 6
1 , x ≥ 3.


Show that E[S] = 1.5 and Var (S) = 0.25.

Evaluate the following probabilities:
(a) Pr (S ≤ 0.5), (b) Pr (S ≤ 1.0), (c) Pr (S ≤ 1.5).
Pengantar Individual Risk Models For a Short Term Exercise Penutup

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