Homework Assignment 1: ACTS:4130 - Quantitative

Methods for Actuaries

Due: 2:30pm, Monday, September 12, 2016

1. The random variable X is uniformly distributed on the interval [0, 5], and the conditional distribution of Y given X = x is uniformly distributed on the interval
[x, x + 1].
(a) Find the mean and variance of Y .
(b) Find P (X > 3|Y > 3).
2. Suppose that the random variable W satisfies P (W = 1) = P (W = 0) = 1/2, the
random variables X1 , X2 follow U (0, 1), the random variables Y1 , Y2 follow U (0, 2),
and that all random variables are mutually independent. Define
Tk = W Xk + (1 W )Yk ,

k = 1, 2.

Compute P (T1 < 1/2|T2 < 1/2).

3. Let the random variable Y have a distribution on [0, 1] with density f (y) = 3y 2 .
The conditional distribution of the random variable X given Y = y is geometric
with parameter y; that is,
P (X = k|Y = y) = y(1 y)k1 ,

k = 1, 2, . . . .

Find the mean and variance of X.

4. Suppose that a point X1 is chosen from the uniform distribution on the interval
[0, 1], and that after the value X1 = x1 is observed, a point X2 is chosen from a
uniform distribution on the interval [x1 , 1]. Suppose further that additional variables
X3 , X4 , . . . are generated in the same way. In general, for j = 1, 2, . . ., after the
value Xj = xj has been observed, Xj+1 is chosen from a uniform distribution on the
interval [xj , 1]. Find the mean of Xn .
5. Let X have a uniform distribution on [0, 1] and let the conditional distribution of
Y given X = x be uniform on [0, x]. Find the correlation of X and Y .
6. Suppose that the random variable Y has a binomial distribution with n trials and
success probability X, where n is a given constant and X is a U (0, 1) random
variable. Find the mean and variance of Y .
7. A monitoring device consists of four components; a power supply and three sensors.
For the device to work, its power supply and at least one of its sensors must work.
Suppose the components fail independently, the chance of the power supply failing
is 5%, and the chance of a particular sensor failing is 30%.
(a) What is the chance that the monitoring device fails?
(b) Given that the device fails, what is the chance that the power supply has failed?
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8. Let N have a Poisson distribution with mean and let the conditional distribution
of X given N = n be binomial with n trials and success probability p; that is,

n
P (N = n) = e n! ,

n = 0, 1, . . . ,
n k
nk
P (X = k|N = n) = k p (1 p) ,
k = 0, 1, . . . n.
Compute the moment generating function of the marginal distribution of X.
Note that if a random variable Y
follows Poisson(), then the moment generating
t
function of Y is MY (t) = E etY = e(e 1) and if a random variable Z follows


Binomial(n, p), then the moment generating function of Z is MZ (t) = E etZ =
((1 p) + pet )n .
9. Two urns each contain ten balls. Urn A contains three red balls and seven blue
balls. Urn B contains six red balls and four blue balls. One of the urns is selected
at random, and then two balls are selected at random without replacement from the
selected urn.
(a) What is the probability that both balls selected are red?
(b) Given that both ball selected are red, what is the probability that the selected
urn was urn A?
10. The number of customers who shop at a store on a particular day has a Poisson
distribution with mean . The amount of time each customer spends at the store
is a random variable with mean and variance 2 . Assume that the customers act
independently. The total sales of the store for the day is the total amount of time
spent by all the customers who shop at the store on that day.
(a) Find the conditional mean and variance of the total sales for the day, given
that the number of customers who shop at the store on the day is n.
(b) Find the unconditional mean and variance of the total sales for the day.