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Random rates
433
Compare these samples
(state the obvious)
435
Compare these samples
436
Compare these pairs
437
Compare these pairs
439
Random definitions
Define, and explain as if to a
seven-year-old:
1. Expectation.
2. Variance
3. Covariance
4. Independence
443
Apr 2003 Q9
444
Specimen Q7
445
Specimen Q7
446
Sep 2002 Q8
447
Sep 2003 Q9
448
Sep 2003 Q9(i)
449
Sep 2003 Q9(ii)
450
Apr 2002 Q11(i)
451
Apr 2002 Q11(i)
452
LogNormal definition
If X ~ LogN(μ,σ2)
453
LogNormal mean
If X ~ LogN(μ,σ2)
What is log(E(X)) ?
Var(X) = (e 2μ+ σ2
) σ2
(e -1)
= 2 σ2
Mean (e -1)
= e σ2
Mean2 -Mean2
455
Finding LogNormal parameters
If X ~ LogN(μ,σ2)
Var(X) = 2 σ2
Mean (e -1)
Mean = e μ+ ½ σ2
456
Specimen Q14 (i)
457
Specimen Q14 (i)
458
Apr 2000 Q11(i)
459
Apr 2000 Q11(i)
460
Sum of LogNormals
461
You need to accept or prove that …
If you …
add any
normal distribution
to any
normal distribution,
you get a …
How is X + Y distributed?
463
Apr 2001 Q9(i)
464
Apr 2001 Q9(i)
465
Apr 2000 Q11(ii)a
466
Apr 2000 Q11(ii)a
467
Normal distribution function
If X~N(0,1)
468
Using Normal distribution
If X~N(4,25)
then X – 4 ~ N(0,25) and
(X – 4)/5 ~ N(0,1)
So
Probability that X < 14
= Probability that X – 4 < 14 – 4
= Probability that (X – 4)/5 < (14 – 4)/5= 2
= Probability that N(0,1) < 2 = Φ(2) 469
Sep 2003 Q5
470
Sep 2003 Q5
471
Specimen Q14 (ii)
472
Specimen Q14 (ii)
473
Specimen Q14 (ii)
474
Apr 2000 Q11(ii)b
475
Apr 2000 Q11(ii)b
476
Apr 2002 Q11(ii)&(iii)
477
Apr 2001 Q9(ii)
478
Sep 2000 Q8
479
Sep 2000 Q8
480
Sep 2001 Q6
481
Sep 2001 Q6
482
END of 102 sessions
483