background image

Egzamin dla Aktuariuszy z 11 października 2004 r. 
 
Prawdopodobieństwo i Statystyka 
 
Zadanie 1 
 

 





0

0

0

1

1

,

0

9

,

0

0

0

1

,

0

0

9

,

0

0

01

,

0

09

,

0

09

,

0

81

,

0

 

 
rozkład stacjonarny: 

Π

=

Π

Π

=

Π

Π

=

Π



Π

=

Π

+

Π

+

Π

Π

=

Π

+

Π

Π

=

Π

+

Π

Π

=

Π

+

Π

1

3

1

2

1

4

4

3

2

1

3

3

1

2

2

1

1

4

1

9

,

0

9

,

0

19

,

0

1

,

0

1

,

0

01

,

0

9

,

0

09

,

0

9

,

0

09

,

0

81

,

0

 

1

19

,

0

9

,

0

9

,

0

1

1

1

1

=

Π

+

Π

+

Π

+

Π

 

1

99

,

2

1

=

Π

 

299

100

1

=

Π

 

299

90

3

2

=

Π

=

Π

 

299

19

4

=

Π

 

635

,

0

299

190

299

90

299

100

3

1

=

+

=

Π

+

Π

=

ODP

 

 
Zadanie 2 
 

(

)

(

)

=

=

=

=

1

)

(

k

N

N

k

N

P

k

N

NZ

E

NZ

E

 

)

(

1

)

(min

1

)

(min

n

α

wykl

e

t

P

t

P

nx

α

=

>

=

 

background image

(

)

α

k

α

k

k

N

NZ

E

N

1

=

=

=

 

(

)

(

)

=

=





+

=

1

1

1

)

1

(

1

1

k

r

k

r

N

p

α

p

p

k

r

k

α

NZ

E

 

(

)

(

)

=

=

=

=

1

2

2

2

2

)

(

k

N

N

k

N

P

k

N

Z

N

E

Z

N

E

 

(

)

(

)

2

2

2

2

2

2

2

2

2

2

α

k

α

k

k

N

Z

E

k

k

N

Z

N

E

N

N

=

=

=

=

=

 

(

)

(

)

=

=





+

=

1

2

2

2

2

1

2

)

1

(

1

2

k

r

k

r

N

p

α

p

p

k

r

k

α

Z

N

E

 

(

)

(

) (

)

(

)

[

]

(

)

2

2

2

2

2

2

2

1

1

1

1

2

1

1

1

1

2

var

α

p

p

α

p

p

α

p

p

α

p

α

NZ

r

r

r

r

r

r

r

N

=

+

=

=

=

 

 
Zadanie 3 
 

=

+

=

X

W

Y

X

Z

2

 

=

+

<

<

<

Z

X

Z

W

0

 



=

=

2

W

U

Y

W

X

       

=

=

)

,

(

   

0

2

1

2

1

2

1

1

0

v

u

dV

dY

dU

dY

dV

dX

dU

dX

 

w:=x 

x

e

x

z

x

f

=

2

1

2

1

2

;

    0<x<z<x+2 

czyli odpowiedź (D) prawidłowa 
 
Zadanie 4 
 
1: 0b   

Nc 

2: 1b   

(N-1)c 

3: 2b   

(N-2)c 

... 
... 
N: (N-1)b 

1c 

N+1: Nb 

0c 

 

(

)

(

) ( )

+

=

=

1

1

1

,

1

2

1

2

N

k

B

k

P

k

B

B

P

B

B

P

 

( ) ( )

)

1

(

)

(

1

1

B

P

k

P

k

B

P

B

k

P

=

 

( )

1

1

)

(

,

1

1

+

=

=

N

k

P

N

k

k

B

P

 

background image

+

=

=

+

+

+

=





+

+

+

+

+

=

+

=

1

1

2

1

2

2

2

2

)

1

(

)

1

(

1

)

1

(

)

1

(

2

1

1

)

1

(

1

1

1

1

)

1

(

N

k

N

N

N

N

N

N

N

N

N

N

N

k

B

P

( )

)

1

(

)

1

(

2

1

+

=

N

N

k

B

k

P

 

(

)

0

1

k

 

dla

 

1

2

,

1

2

→=

=

=

N

k

k

B

B

P

 

 
 
Z tego: 

+

=

+

+

+

=

+

=

=

+

+

=

+

=

+

=

1

2

)

1

(

...

3

2

2

1

1

2

3

2

3

)

1

(

)

1

(

)

1

(

)

1

(

2

)

1

)(

2

(

)

1

(

)

1

(

2

)

1

(

)

1

(

)

1

(

2

)

2

(

N

k

N

N

N

k

N

N

N

N

N

N

k

k

N

N

N

N

N

N

k

k

ODP

4

4 8

4

4 7

6

 
Zadanie 5 
 

(

)

(

)

=

=

=

=

=

=

=

<

t

t

θ

t

θ

w

θ

x

θ

wykl

e

e

θ

dw

xdx

w

x

dx

xe

θ

t

X

P

t

X

P

0

0

2

2

1

1

2

1

2

2

2

2

 

θ

n

wykl

Y

n

 

n

θ

n

θ

a

θ

n

θ

a

EaY

=

=

=

=

 

n

n

nY

T

=

 

(

)

(

)

=

+

<

<

=

<

<

=

>

n

θ

ε

Y

n

ε

θ

P

ε

θ

nY

ε

P

ε

θ

nY

P

θ

n

θ

n

θ

1

1

 

=



=



=

>

=

+

1

1

1

1

:

e

e

e

e

e

e

ε

θ

zal

θ

ε

θ

ε

θ

n

n

θ

ε

θ

n

n

ε

θ

 

)

(

exp

exp

)

1

exp(

1

B

θ

ε

θ

ε

=

 

 
Zadanie 6 
 

(

)

(

)

(

)



+

=

Π

Π

2

2

1

2

1

2

2

2

2

2

2

100

2

100

2

2

exp

2

1

2

1

2

2

1

2

2

2

σ

µ

X

σ

µ

σ

µ

X

σ

µ

e

σ

e

σ

i

i

σ

µ

X

σ

µ

X

i

i

 

(

)

=

=

>

i

µ

µ

X

σ

µ

µ

X

STAT

e

C

i

1

2

2

1

2

1

 

(

)

2

0

100

;

100

σ

µ

N

X

i

 

 

background image

(

)

0

0

0

0

100

4

,

16

64

,

1

10

100

05

,

0

10

100

µ

σ

t

σ

µ

t

σ

µ

t

X

P

t

X

P

i

+

=

=

=

>

=

>

 

(

)

2

10

1

,

cov

σ

X

X

j

i

=

 

(

)

2

2

2

2

2

2

2

1090

10

99

100

10

1

!

98

2

!

100

2

100

10

1

2

100

2

100

var

σ

σ

σ

σ

σ

σ

σ

X

i

=

+

=

+

=





+

=

 

(

)

(

)

=

=

+

>

2

0

0

1090

;

100

100

4

,

6

1

σ

µ

N

X

µ

σ

X

P

i

i

 

31

,

0

1090

4

,

16

1090

100

100

4

,

16

5

,

0

0

0

>

=





+

>

=

8

7

6

X

P

σ

µ

µ

σ

X

P

 

 
Zadanie 7 
 

(

)

m

a

a

a

a

m

E

4

3

2

1

ˆ

+

+

+

=

 

( )

(

) (

)

2

2

4

2

3

2

2

2

1

2

2

4

2

2

3

2

2

2

2

2

1

2

4

3

2

4

3

2

ˆ

m

a

a

a

a

m

a

m

a

m

a

m

a

m

σ

+

+

+

=

+

+

+

=

 

(

)

(

)

2

2

4

3

2

1

2

2

4

2

3

2

2

2

1

2

4

3

2

ˆ

m

a

a

a

a

m

a

a

a

a

m

E

+

+

+

+

+

+

+

=

 

(

)

(

)

(

)

(

)

=

+

+

+

+

+

+

+

+

+

+

+

=

2

4

3

2

1

2

2

2

4

3

2

1

2

2

4

2

3

2

2

2

1

2

2

4

3

2

ˆ

m

a

a

a

a

m

m

a

a

a

a

m

a

a

a

a

m

m

E

[

]

1

2

2

2

2

2

2

2

2

2

2

5

4

3

2

4

3

2

1

4

3

4

2

3

2

4

1

3

1

2

1

2

4

2

3

2

2

2

1

2

+

+

+

+

+

+

+

+

+

+

=

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

m

)

ˆ

(a

f

=

 

 

0

2

2

2

2

10

0

2

2

2

2

8

0

2

2

2

2

6

0

2

2

2

2

4

3

2

1

4

4

4

2

1

3

3

4

3

1

2

2

4

3

2

1

1

=

+

+

+

=

=

+

+

+

=

=

+

+

+

=

=

+

+

+

=

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

a

     

1

2

1

2

5

,

0

0

2

4

a

a

a

a

=

=

    

 

=

+

+

=

+

+

=

+

+

2

10

2

3

2

2

8

3

2

2

2

5

4

3

1

4

3

1

4

3

1

a

a

a

a

a

a

a

a

a

 

1

4

3

5

,

2

1

a

a

a

=

 

(

)

(

)

=

+

+

=

+

+

2

10

5

,

2

1

2

3

2

2

5

,

2

1

8

3

4

1

4

1

4

1

4

1

a

a

a

a

a

a

a

a

 

=

=

+

0

8

2

6

6

17

4

1

4

1

a

a

a

a

 

4

4

1

17

6

17

6

17

6

6

a

a

a

=

=

 

 

background image

0

8

17

6

17

6

2

4

4

=

a

a

 

17

12

17

12

8

4

=

+

a

 

37

3

148

12

12

8

17

17

17

12

4

=

=

+

=

a

 

37

12

37

3

17

6

17

6

1

=

=

a

 

37

4

37

12

2

5

37

3

1

3

=

=

a

 

37

6

2

=

a

 

( )

1

)

0

(

32

,

0

ˆ

=

f

a

f

to jest minimum 

 
Zadanie 8 
 

(

)

)

1

(

ln

Y

N

M

M

ODP

=

 

( )

(

)

=

>

>

+

=

=

)

(

)

(

1

)

1

(

d

X

P

d

X

e

E

d

X

P

e

E

M

d

X

Y

Y

 

+

=

+

=

+

=

d

d

d

d

x

d

x

d

e

e

e

dx

e

e

e

2

2

2

2

2

1

2

1

2

1

 

( )

1

)

(

=

t

e

λ

N

e

t

M

 

(

)

d

d

e

e

e

e

ODP

2

2

3

1

1

3

=

=

+

 

 
Zadanie 9 
 

(

)

2

2

2

2

1

1

)

3

(

2

)

2

(

3

2

...

,

...

3

cov

σ

n

σ

σ

n

σ

X

X

X

X

n

n

+

=

+

+

=

+

+

+

+

 

2

2

2

)

8

(

)

1

(

9

var

σ

n

σ

n

σ

U

+

=

+

=

 

2

2

2

)

3

(

4

)

1

(

var

σ

n

σ

σ

n

V

+

=

+

=

 

8

3

)

8

)(

3

(

)

3

(

)

,

(

2

2

+

+

=

+

+

+

=

n

n

n

n

σ

σ

n

V

U

corr

 

 
Zadanie 10 
 

(

) (

)

(

)

...

)

;

0

(

3

4

1

,...,

)

(

,...,

,...,

4

:

4

2

4

4

4

1

4

1

4

1

θ

χ

e

θ

θ

x

x

f

θ

f

θ

x

x

f

x

x

θ

f

x

θ

=

=

 

(

)

( )

=

=

=

=

0

2

2

2

44

2

4

1

max

3

2

2

1

3

4

3

4

)

(

3

4

...

x

x

x

θ

θ

e

e

e

θ

χ

e

x

x

f

 

background image

(

)

)

;

0

(

2

3

2

)

;

0

(

3

4

...

max

max

max

max

2

2

2

2

4

1

θ

χ

e

e

e

θ

χ

e

x

x

θ

f

x

x

θ

x

x

θ

=

=

 

(

)

>

>

=

=

<

=

>

3

max

6

2

2

2

max

4

1

2

2

ln

3

2

1

2

3

 

jezeli

...

3

max

max

x

e

e

θ

d

e

e

x

x

x

θ

P

x

x

θ

 

(

)

>

=

=

=

>

=

>

max

max

max

max

2

1

1

2

3

 

dla

...

3

2

2

2

2

max

4

1

x

x

x

x

θ

e

e

θ

d

e

e

x

x

x

θ

P

 

Z tego: 

>

=

2

2

ln

3

4

:

4

x

K