Sie sind auf Seite 1von 9

Monash University

Semester One Examination Period 2014


Faculty Of Business and Economics
EXAM CODES:

ETC1010

TITLE OF PAPER:

DATA MODELLING

EXAM DURATION:

2 hours writing time

READING TIME:

10 minutes

THIS PAPER IS FOR STUDENTS STUDYING AT:( tick where applicable)


Berwick
X Clayton
Malaysia
Off Campus Learning
Open Learning
Caulfield
Gippsland
Peninsula
Enhancement Studies Sth
Africa
Pharmacy
Other (specify)
During an exam, you must not have in your possession, a book, notes, paper, electronic
device/s, calculator, pencil case, mobile phone or other material/item which has not been
authorised for the exam or specifically permitted as noted below. Any material or item on
your desk, chair or person will be deemed to be in your possession. You are reminded that
possession of unauthorised materials in an exam is a discipline offence under Monash Statute
4.1.

No examination papers are to be removed from the room.


AUTHORISED MATERIALS
CALCULATORS
OPEN BOOK

X YES

NO

YES

X NO

SPECIFICALLY PERMITTED ITEMS


YES
X NO
if yes, items permitted are:
Candidates must complete this section if required to write answers within this paper

STUDENT ID

__ __ __ __ __ __ __ __DESK NUMBER

__ __ __ __

Page 1 of 9

Question 1 (10 marks)


John is 20 years old and wants to start saving for his superannuation. He would like to have
accumulated a pot of money of $500,000 with which to buy his pension at age 65.

(a)

(b)

If he can achieve a return of 6% p.a. effective and, assuming that


John invests the same amount at the end of each year until age 65,
how much should John invest at the end of the year?
Assume that John, now aged 65, has accumulated $500,000 in his
superannuation fund and he is now going to draw down $6,000 at
the start of each month from this pot of money. Assuming he
continues to receive a return of 6% p.a. effective. How long will
John be able to continue drawing down on his funds for?

(5 marks)

(5 marks)

Question 2 (14 marks)


2 (a) Using the mortality table provided on the next page, calculate the following
(i) The probability that a person currently aged 50 will survive until (2 marks)
age 65
(2 marks)
(ii) The probability that a person currently aged 60 will die before
age 65
(3 marks)
(iii) The probability that a person currently aged 60 will die
between ages 65 and 80
(b)

Describe the shape of a mortality curve


(i)
(ii)
(iii)

If plotted with age as the x axis


If plotted with time as the x axis
What information does (ii) give us about future life
expectancy?

Question 3 (6 marks)
3 (a) List the assumptions of the chain ladder method

(2 marks)
(2 marks)
(3 marks)

(2 marks)

The cumulative cost of incurred claims (in $000), from a particular


group of policies are shown in the tables given below. We can
assume the claims are fully run-off at the end of the development
year 2.

The total amount of claims that have been paid to date is $1,701
(b) Use the chain ladder method to estimate the outstanding claim
reserve in respect of accident years 2007 and 2008.

(4 marks)

Page 2 of 9

Appendix
Mortality table for question 2
Age x

q_x

l_x

50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95

0.0074
0.0074
0.0075
0.0075
0.0076
0.0077
0.0079
0.0081
0.0084
0.0087
0.0091
0.0097
0.0104
0.0112
0.0122
0.0134
0.0149
0.0166
0.0186
0.0209
0.0236
0.0266
0.0300
0.0338
0.0381
0.0427
0.0478
0.0534
0.0593
0.0658
0.0726
0.0799
0.0875
0.0956
0.1041
0.1130
0.1222
0.1319
0.1419
0.1524
0.1650
0.1787
0.1928
0.2072
0.2219
0.2368

100,000
99,257
98,515
97,773
97,028
96,278
95,518
94,745
93,954
93,137
92,287
91,394
90,448
89,436
88,345
87,159
85,862
84,437
82,866
81,132
79,219
77,110
74,794
72,263
69,511
66,540
63,357
59,976
56,417
52,707
48,881
44,977
41,040
37,116
33,252
29,495
25,890
22,475
19,285
16,346
13,650
11,211
9,050
7,175
5,582
4,260

Page 3 of 9

Question 4 (15 marks)


In a study of the effects of case mix on hospital costs in the text book Economic Analysis for
the Health Service Industry, North-Holland 1967, Chapter 1, M. S. Feldstein considered the
following model:

Where for each hospital the regressand C is the average cost per case treated and the value of
each regressor gives the proportion of cases treated in each treatment category where the
categories are:
M= Medical
P= Pediatrics
GS= General Surgery
E= Enterology
TO= Traumatic & Orthopedic Surgery
OS= Other Surgery
G= Gynecology
Ob= Obstetrics
N.B.
Where other is the proportion of cases treated a miscellaneous collection of other treatment
categories.
Data on 177 hospitals yielded the following least squares regression results where
denotes the standard error of the regression coefficient .
The Coefficient of Determination was 0.3076.
The F statistic for the overall significance was 9.33 (The Excel function value
F.INV(0.99,8,168)=2.6817.).

Page 4 of 9

Regressor

s.e.(b)

AC

44.97 18.89

114.48

-44.54 28.51

24.97

GS

-36.81 14.88

32.7

-54.26 16.52

15.25

TO

-29.82 17.18

39.69

OS

28.51 20.27

98.02

-10.79 21.47

58.72

Ob

-34.63 16.34

34.88

Constant

69.51

69.51

1. Each of the regressor variables is obviously nominal. Are they also measured on a
ratio scale? Briefly explain your answer.
(2 Marks)
2. Which of the eight regressor variables has a coefficient that is not statistically
significantly different from zero? (The Excel function value
T.INV(0.975,168)=1.9742.) It is suggested that the variables that do not have
significant coefficients should be deleted from the relationship. Is this suggestion
well founded? If so, why? If not, why not?
(8 Marks)
3. How have the values in the column labelled AC been calculated? What is the
appropriate interpretation to be attached to these numbers?
(5 Marks)

Page 5 of 9

Question 5 (15 marks)


In a study of the United Kingdom brick, pottery, glass and cement industry for the period
1961 to 1981 (inclusive), R.L. Thomas {Introductory Econometrics: Theory and
Applications Longman 1985, pp 244-246} obtained the following OLS regression results:

Where
Q= index of production at constant factor cost,
K= gross capital stock at replacement cost,
H= hours worked per employee,
and the figures in parentheses are the coefficient standard errors.
1. Do the estimated coefficients suggest that the industry was experiencing increasing or
decreasing returns to scale over these two decades? Justify your answer.
(3Marks)
2. Verify that each partial regression slope coefficient is statistically different from zero
by conducting an appropriate one sided hypothesis test at the 5% level of
significance. (The Excel function value T.INV(0.95,18)=1.7341.)
(3 Marks)
To allow for changes in technology over time the model was re-estimated to give

Where T= time in years used here as a proxy for technological change.


3. What interpretation should be placed on the value 0.0272 obtained for the estimated
coefficient on the variable T?
(2 Marks)
4. Verify that the coefficient of log K is now statistically insignificant at the 5% level.
(Show your working using the Excel function value T.INV(0.05,17) = 2.5669.)
(3 Marks)
5. Given that the correlation coefficient between T and log K is 0.98, account for the
insignificance of the regressor log K in this second model?
(4 Marks)

Page 6 of 9

Question 6 (20 marks)


The function

is a cubic function with domain D = [-3,3].

Some of the values of


x

-3
-29

are in the table below:


-2
12

-1
23

0
16

1
3

2
-4

3
7

It is also known that


and
and
(where denotes derivative and denotes second derivative.)
(a)

Does

have a local minimum on D? If so at what value(s) of x?

(b)

Does

have a local maximum on D? If so at what value(s) of x?

(c)

Does

have a global minimum on D? If so at what value(s) of x?

(d)

Does

have a global maximum on D? If so at what value(s) of x?


(3 marks each)

Suppose
(e)

Must
point?

is a continuous function on D = [-3,3] with

also continuous on D.

have a global maximum on D? Must a global maximum be at a turning


(6 marks)

(f)

Does the function

| | have a stationary point at x = 0?


(2 marks)

Page 7 of 9

Question 7 (10 marks)


A farmer has a long brick wall on his property and a small amount of fencing.
He wishes to build a rectangular paddock for his pets using the brick wall as one side.
He has 12m of fence.
The rectangular paddock will have dimensions a b and therefore area A ab .
Use the Lagrangian method to find the values of a and b that maximise area A subject to the
constraint 2a + b 12 . State the value of that area.

Page 8 of 9

Question 8 (10 marks)


Recall the Samsung television example from tutorials.

The corresponding multiple linear regression was given by


(1)
With the residuals or errors given by
In cells H42, I42 and J42 (not shown above) excels SUM function was used to calculate the
sum of , the sum of
and the sum of absolute error respectively

Note MAD

| |.

| |

Solver was used to minimise the value in objective cell H42.


(a) From the output above, determine the cell address of the estimates of the three beta
coefficients.
(3 marks)
Solver was also used to minimise the value in objective cell J42.
(b) State with reasons why you prefer the estimates of the beta coefficients in model (1)
from minimising cell H42 or cell J42?
(5 marks)
(c) Which of (a) and (b) corresponds to OLS regression estimates? Why?
(2 marks)

END OF EXAMINATION
Page 9 of 9

Das könnte Ihnen auch gefallen