Matem aticas Actuariales del Seguro de Personas I Grupo:9064 Tarea 1

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Jueves 13 de Febrero 2014 a las 7:00 AM en el sal on de clases.

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Las respuestas de los ejercicios num ericos (es decir, no demostraciones) se encuentran en el Ap endice 7 de Actuarial Mathematics, Bowers por lo que debe mostrar todos sus desarrollos para llegar a dichas respuestas.

Ejercicios Extra dos del Bowers Actuarial Mathematics 1. (Exercise 1.4 page 21 )If a utility function is such that u (w) > 0 and u (w) > 0 use (1.3.1)1 to show G . A decision marker with preferences consistent with u (w) > 0 is a risk lover 2. (Exercise 1.6 page 21) Conrm that the utility function u(w) = log w, w > 0, is the utility function of a decision maker who is risk averse for w > 0 3. (Exercise 1.9 page 21) A decision maker has utility function u(w) = klogw. The decision maker has wealth w, w > 1 and faces a random loss X , which has a uniform distribution on the interval (0, 1). Use the formula u(w G) = E(u(w X )) to show that the maximum insurance premium that the decision maker will pay for complete insurance is ww G=w e(w 1)w1 4. (Exersice 1.13 page 22) a) An insurer with net worth 100 has accepted (and collected the premium for) a risk X with the following probability distribution: P(X = 0) = P(X = 51) = 1 2

What is the maximum amount G it should pay another insurer to accept 100 % of this loss?. Assume the rst insurers utility of wealth is u(w) = logw b) An insurer, with wealth 650 and the same utility function u(w) = logw, is considering to accept the above risk. What is the minimun amount H this insurer would accept as a premium to cover 100 % of the loss?

1.3.1. u(w G) = E(u(w X ))