ACTS 4304

Instructor: Natalia A. Humphreys

HOMEWORK 11
Lesson 23: Estimation of Related Quantities.
Lesson 24: Variance of Kaplan-Meier and Nelson-Aalen Estimators.
Due: April 28, 2015 (Tue)
Sufficient work must be shown to get credit for a correct answer. Partial credit may be given for
incorrect answers which have some positive work.
Problem 1
You are given the following data for losses on an automobile liability coverage:

Claim Size X

Number of Claims

1-2000

2000-3500

41

3500-5000

37

5000-8000

15

A policy limit of 7000 is imposed.

Estimate the average claim payment and the variance of claim payments, taking the policy limit into
account.
Problem 2
Let di be the entry age, ui be the withdrawal age, and xi be the death age. You are given the following
data from a mortality study:

di xi ui

Using the product-limit estimator S(x), determine the expected future lifetime at birth.
Problem 3
A mortality study, 15 lives are under observation. One death apiece occurs at times 2, 5, 7, and 10,
two deaths occur at time 6, and three deaths at time 12. One withdrawal apiece occurs at times 6, 8
and 11. One life arrives at times 2, 5 and 10. The study concludes at time 15.
You estimate the survival function using the product-limit estimator, and extrapolate past time 15
using an exponential. Estimate expected survival time.

Copyright Natalia A. Humphreys, 2015

ACTS 4304. SP 2015. HOMEWORK 11.

Problem 4
You are given the following data for losses on an automobile liability coverage:

Claim Size X

Number of Claims

1-2000

2000-3500

41

3500-5000

37

5000-8000

15

You are pricing another coverage that has a deductible of 1000. Estimate the average payment per
payment on this coverage.
Problem 5
You are given the following data for losses on an automobile liability coverage:

Claim Size X

Number of Claims

1-2000

2000-3500

41

3500-5000

37

5000-8000

15

You are pricing another coverage that has a policy limit of 8000. It is expected that loss sizes will
increase by 6% due to inflation. Estimate the average payment per loss after inflation.
Problem 6
Eight deaths are observed:
4 6 7 7 8 10 10 13
In addition, there was one censored observation apiece at times 7, 9, and 12.
Let X be the time of death. Use the Nelson - Aalen estimator to model the time of death. Determine
P r (7 < X < 13).
Problem 7
In a mortality study of 50 lives, you are given:

yj

rj

sj

50

48

54

41

32

3
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Copyright Natalia A. Humphreys, 2015

ACTS 4304. SP 2015. HOMEWORK 11.

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is estimated using the product limit estimator. Estimate the variance of the estimate.

Problem 8
Let di be the entry age, ui be the withdrawal age, and xi be the death age. You are given the following
data from a mortality study:

di xi ui

Calculate the estimated variance of the Nelson - Aalen estimate of H(6).

Problem 9
In a mortality study of 50 lives, you are given:

yj

rj

sj

50

48

54

41

32

H(4) is estimated using the Nelson - Aalen estimator. Construct a 95% linear confidence interval
and a 95% log-transformed confidence interval for H(4).
Problem 10
The linear 90% confidence interval for S(t0 ) is given by (0.58, 0.95). Construct the 90% log-transformed
confidence interval for S(t0 ).

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