Kuis II Semester Genap 2019/2019

Program Studi S1 Departemen Matematika EMKSD-ITS

Mata Kuliah : Pengantar Analisa Resiko

Tanggal/Waktu/Sifat : 8 April 2019/ 90 menit/Tutup Buku
Dosen : Endah RM Putri, Ph.D / Wawan Hafid S, M.Si, MAct.Sc

1. Let X has a Pareto distribution with parameters 𝛼 and 𝜃. The pdf of Pareto distribution is
given as follow:
𝛼𝜃𝛼
𝑓(𝑥) =
(𝑥 + 𝜃)𝛼+1
𝑋
Let 𝑌 = ln (1 + 𝜃 ). Determine the name of the distribution of Y and its parameters.

1 𝑥
2. Let X has pdf 𝑓(𝑥) = 2𝜃 exp (− |𝜃|) for −∞ < 𝑥 < ∞. Let 𝑌 = 𝑒 𝑋 . Determine the pdf and

cdf of Y.

3. The probability density function of the ground-up loss 𝑋 is given by

𝑓𝑋 (𝑥) = 0.01𝑒 −0.02𝑥 + 0.005𝑒 −0.01𝑥 , for 𝑥 > 0

Determine the limited value function 𝐸(𝑋˄𝑑) as a function of d.

4. Related to the question on number 3, determine the second moment function 𝐸[(𝑋˄𝑑)2 ] as a
function of d.
𝑑 1 1 1
Hint : ∫0 𝑦𝑒 −𝛽𝑦 𝑑𝑦 = 2 − 𝑒 −𝛽𝑑 (𝑑 + )
𝛽 𝛽 𝛽