Beskjeder
We are going to look at the 5th set of exercises with a special focus on chain ladder. Exercises are not from the book. Look also at an excel sheet with chain ladder
The assignment is available below and in canvas. The submission must be sent via canvas until October 24th 2:30pm. You need to get at least 40% to pass it. Note that you have only one attempt (though you can submit new versions before the deadline).
We are going to look at exercises from the fourth jupyter notebook:
possibly: 3.4, 3.5,
surely, 3.6, 3.7, 3.8, 3.9, 3.10, 3.11, 3.12, 3.13, 3.14,
We are going to continue exercises regarding the estimation from chapter 7 (7.9-7.13) + Bootstrap
Moreover we will prove the tower property of conditional expectation: if X,Y -indepdendent and f:R^2 -> R is a function then E[f(X,Y)|Y]= E[f(X,y)]|_{y=Y}.
If we have time, we will start the exercises regarding the Non-life insurance and compound Poisson (3.4, 3.5, 3.6 etc.)
From Chapter 2:
Ex. 2.19, 2.20, 2.21, 2.22, 2.23, 2.25, 2.26, 2.27, 2.28, 2.29, 2.30, 2.34, 2.35
From Chapter 7:
7.8, 7.9, 7.10, 7.11, 7.12, 7.13 + an exercise about bootstrap and estimation for lognormal distribution.
This is a kind reminder that we will have a lecture both on Monday sept 8th and Tuesday sept 9th. See you soon
The faculty confirm the date for the mandatory assignment (October 24th)
From Tuesday onward Sept 3rd we will also have a different lecture room (Auditorium 4 VB). That means that the lecture on Monday is still in the room 1119 Abels hus.
Prove formula for mean and standard deviation for MC estimator of mean
Prove formulas for CDF, expectation and variance of lognormal distribution
Example 2.2.3 from the book
Ex.2.1.2.2, 2.4, 2.5, 2.6, 2.9, 2.10, 2.12, 2.18 (not sure)
1. Right click on the link and choose "save as" or similar, depending on the browser
2. Either use the cloud version of Jupyter Notebook (https://jupyterhub.uio.no/ this didnt work today :( )
or
install Anaconda, install in it an R-environment and run it in Jupyter Notebook from Anaconda and open the file. I can show how to do it in case you have some problems. See you on Monday!
Linda (lindabergheim@hotmail.com) has been so kind to agree to be your student representative for this course. In case you have some comments or questions and do not want to ask me directly, please, take contact with her :)