Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA/CAS Preliminary Exams > Short-Term Actuarial Math
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

Search Actuarial Jobs by State @ DWSimpson.com:
AL AK AR AZ CA CO CT DE FL GA HI ID IL IN IA KS KY LA
ME MD MA MI MN MS MO MT NE NH NJ NM NY NV NC ND
OH OK OR PA RI SC SD TN TX UT VT VA WA WV WI WY

Short-Term Actuarial Math Old Exam C Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #1  
Old 02-12-2019, 11:22 AM
smarterthancandee smarterthancandee is offline
Member
Non-Actuary
 
Join Date: Aug 2015
Location: Harrisburg, Pennsylvania
Studying for MFE
College: BU Alumna
Favorite beer: Butterbeer
Posts: 43
Default Negative bimomial

Regarding the formulas in the appendix from the Loss Models book, for the negative binomial, the two parameters they give are r and B. I assume that r is the number of successes. They give E(N)=r*B and Var(N)= r*B*(1+B). Does anyone know if B is 1/prob of success & N is the number of trials to get r successes or if they are something else?
__________________

P FM MFE STAM LTAM SRM PA
VEE: Mathematical Statistics, Economics, Accounting & Finance
Reply With Quote
  #2  
Old 02-12-2019, 11:36 AM
terencechow's Avatar
terencechow terencechow is offline
Member
SOA
 
Join Date: Aug 2012
College: Drake University Alumni
Posts: 34
Default

The probability of success is 1 / (1 + B).
N is the number of failures before r successes, i.e. N starts from 0.
__________________
Terence Chow, ASA, CFA
Product Manager, Actuarial
coachingactuaries.com
Reply With Quote
  #3  
Old 02-12-2019, 11:50 AM
smarterthancandee smarterthancandee is offline
Member
Non-Actuary
 
Join Date: Aug 2015
Location: Harrisburg, Pennsylvania
Studying for MFE
College: BU Alumna
Favorite beer: Butterbeer
Posts: 43
Default

Thanks!
__________________

P FM MFE STAM LTAM SRM PA
VEE: Mathematical Statistics, Economics, Accounting & Finance
Reply With Quote
  #4  
Old 02-12-2019, 05:46 PM
Jim Daniel's Avatar
Jim Daniel Jim Daniel is offline
Member
SOA
 
Join Date: Jan 2002
Location: Davis, CA
College: Wabash College B.A. 1962, Stanford Ph.D. 1965
Posts: 2,716
Default

Quote:
Originally Posted by smarterthancandee View Post
Regarding the formulas in the appendix from the Loss Models book, for the negative binomial, the two parameters they give are r and B. I assume that r is the number of successes. They give E(N)=r*B and Var(N)= r*B*(1+B). Does anyone know if B is 1/prob of success & N is the number of trials to get r successes or if they are something else?
You need to be a little careful with this interpretation, since r need not be a whole number. It's OK to roughly thing of it as Terence described, but don't get flustered if you have r=2.3 or some such.
__________________
Jim Daniel
Jim Daniel's Actuarial Seminars
www.actuarialseminars.com
jimdaniel@actuarialseminars.com
Reply With Quote
  #5  
Old 02-12-2019, 06:01 PM
Ginerv30's Avatar
Ginerv30 Ginerv30 is offline
SOA
 
Join Date: Jun 2013
College: Florida State University
Posts: 15
Default

Maybe if you were taking the old C exam, you would need to get down to this level of detail for the Neg. Binomial...But since it changed to STAM, dont get boggled down in the details of the frequency distributions.

All you need to really know is their means and variances. Also maybe know which parameters are changed by adding independent random variables or which parameter is "thinned" when you want only losses greater than a certain number.
__________________
P FM MFE STAM LTAM
Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 08:27 PM.


Powered by vBulletin®
Copyright ©2000 - 2019, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.18702 seconds with 9 queries