3. Eire General Insurance has an arrangement with the reinsurance com- pany SingaporeRe, whereby the excess of any claim over M is handled by the reinsurer. Claim size is traditionally modeled by a Pareto dis- tribution with parameters a and λ = 8400. Show that the maximum likelihood estimator of a based on a sample of n + m claim payments (for Eire General) of the form (1,. ., In, M, ,M) takes the form n â= n/ Σ 35 M/X)). log(1+x/A)+m log(1+ M/X) If the amounts paid by Erie General based on a sample of size 10 = 7+3 nm were (14.9, 775.7, 805.2, 993.9, 1127.5, 1602.5, 1998.3, 2000, 2000, 2000), what would the maximum likelihood estimate of a be?
3. Eire General Insurance has an arrangement with the reinsurance com- pany SingaporeRe, whereby the excess of any claim over M is handled by the reinsurer. Claim size is traditionally modeled by a Pareto dis- tribution with parameters a and λ = 8400. Show that the maximum likelihood estimator of a based on a sample of n + m claim payments (for Eire General) of the form (1,. ., In, M, ,M) takes the form n â= n/ Σ 35 M/X)). log(1+x/A)+m log(1+ M/X) If the amounts paid by Erie General based on a sample of size 10 = 7+3 nm were (14.9, 775.7, 805.2, 993.9, 1127.5, 1602.5, 1998.3, 2000, 2000, 2000), what would the maximum likelihood estimate of a be?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Transcribed Image Text:3. Eire General Insurance has an arrangement with the reinsurance com-
pany SingaporeRe, whereby the excess of any claim over M is handled
by the reinsurer. Claim size is traditionally modeled by a Pareto dis-
tribution with parameters a and λ = 8400. Show that the maximum
likelihood estimator of a based on a sample of n + m claim payments
(for Eire General) of the form (1,. ., In, M, ,M) takes the form
n
â= n/
Σ
35
M/X)).
log(1+x/A)+m log(1+ M/X)
If the amounts paid by Erie General based on a sample of size 10 =
7+3 nm were
(14.9, 775.7, 805.2, 993.9, 1127.5, 1602.5, 1998.3, 2000, 2000, 2000),
what would the maximum likelihood estimate of a be?
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