Actuarial Outpost SOA 299
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 Short-Term Actuarial Math Old Exam C Forum

#1
02-05-2018, 01:57 PM
 luvisalluneed SOA Join Date: Mar 2014 Location: US Posts: 11
SOA 299

Could someone explain why the time interval ~ exp(theta =1/5)?

Which chapter of ASM covers this? Thanks!
#2
02-05-2018, 06:40 PM
 UIUCAS CAS Join Date: Oct 2017 College: University of Illinois Champaign Alumni Posts: 4

It's actually an (a,b,0) multi decrements simulation. Since this is based off a poisson, the appropriate lambda is just lambda=5. then just plug this into s=-ln(1-u)/lambda where u is the uniform random number. The formula is on the first part of the ADAPT formula sheet if you have that
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#3
02-06-2018, 04:15 AM
 paolloreyes SOA Join Date: Oct 2017 College: University of the Philippines Diliman Posts: 4

Quote:
 Originally Posted by luvisalluneed Could someone explain why the time interval ~ exp(theta =1/5)? Which chapter of ASM covers this? Thanks!
Hi, I think it's in Simulation - Special Techniques under Simulating (a,b,0) Distributions. Hope this helps!
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