Escolar Documentos
Profissional Documentos
Cultura Documentos
Although we attempt to be as accurate as possible with our support materials, mistakes will appear from time to time, since
these documents are being published by students.
ASOC accepts no responsibility for any damage (academic or otherwise) that occurs as a result of any error within these
support materials.
For official advice regarding your university courses, seek guidance from the relevant lecturer-in-charge, or your tutor. If you
are unsure about anything, it is best to seek counsel from the appropriate academics within the university.
We would appreciate it if you point out any mistakes by contacting us - peersupport@asoc.unsw.edu.au
In 2009 only, for questions relating to ACTL3001/ACTL3002, email treasurer@asoc.unsw.edu.au
x1
.
1. If X Log-Logistic(, ) then the corresponding density function is f X (x) =
( + x )2
(b) Given the following survival data with asterisks representing right-censored data, write down the likelihood function
if X Log-Logistic(, ):
1, 2, 3, 3 , 5, 7, 9 , 9
(c) Show that if X Log-Logistic(, 1) and Y Pareto(1, ) then X and Y have the same distribution.
T
(ez ) x1
(d) Show that the modified log-logistic model with f X (x; z) =
2 is an accelerated failure time model.
+ [ezT x]
2. Let X be the future lifetime of a newborn baby.
0
if x < 0 or x > 100;
0.3
if x = 0;
(b) Suppose that f X (x) =
0.1
if x = 100.
x
1 80
160 e
for x > 0.
3. Consider the Continuous Time Markov Model with four states: Healthy (H), Sick (S), Intensive Care (I) and Dead(D).
The following transition rates apply: H S : , H I : , S I : , I S : , H D : , S D : , I D : .
(a) Draw a diagram showing the transition rates between states, and write down the transition rate matrix Q.
(b) Suppose that = 0. Derive the transition probabilities Pij (t) for this model.
(c) Consider the Healthy - Sick - Intensive Care - Dead model described above, and assume = 0.
A study following a group of 1000 actuaries over 2 years yielded the following data:
598 of these actuaries checked into hospital, with 81 being placed directly into the intensive care unit. During the
observation period, 264 of the actuaries were moved from the hospital wards into the intensive care unit when their
condition worsened. At the end of the observation period, 307 of the actuaries were still healthy, 243 were in the
hospital wards and 31 were in intensive care.
The average time spent in the hospital wards is 50 days, and the average time spent in intensive care is 5 days.
Assume that years have 365 days.
i. Calculate the maximum likelihood estimates of the transition rates , and , assuming a yearly basis.
State any assumptions that you make.
ii. Calculate the maximum likelihood estimates of the transition rates HD , SD and ID , assuming a yearly basis.
Given the data above, does the model (HD = SD = ID = ) seem reasonable?
iii. Use the Binomial model to estimate the probability of death over the observation period.
iv. Assuming that the force of mortality is constant, use the Poisson model to estimate the force of mortality on a
yearly basis, and hence estimate the probability of death over the observation period.
(d) Now suppose that 6= 0. It is given that PHS (t) and PSS (t) are as follows (DO NOT PROVE THIS):
1
PHS (t) =
( + )et + ( )( + )e(++)t + ( )e(++)t
( + )( + )
1 t
PSS (t) =
e
+ e(++)t
+
Derive the transition probabilities Pij (t) for this model.
t1
dt =
( + t )2
Z
0
x
x
du
=
=
=
1
( + u)2
+ u 0
+ x
+ x
+ x
S X (x) = 1 F X (x) =
X (x) =
f X (x)
x1
+ x
x1
S X (x)
( + x )
+ x
51 71
11 21 31
( + 1 )2 ( + 2 )2 ( + 3 )2 + 3 ( + 5 )2 ( + 7 )2 + 9 + 9
1)2 (
8 5 2101
+ 3 )3 ( + 5 )2 ( + 7 )2 ( + 9 )2
2 )2 (
F X (z) =
z
+z
F Y (z) = 1
+z
1
=
z
+z
Since F X (z) = F Y (z), it follows that X and Y have the same distribution.
(d) Note that S X (x; 0) is the survival function calculated in part (a).
=
=
(ez ) t1
2 dt
0
+ [ezT t]
x
1+
+ [ezT t] 0
1+
+ [ezT x]
Z
S X (x; z)
+ [ezT x]
S X (ez x; 0)
0
if x < 0;
1
if x = 0;
(a) In this case f X (x) = 2
1 e 80
if x > 0.
160
Z
Z
1 1 x
1
1
1 x
E[X] = 0 +
x
x e 80 dx = 80 = 40
e 80 dx = 0 +
2
160
2
80
2
0
|0
{z
}
1
) RV
E[X] for Exp( 80
1
E[X 2 ] = 02 +
2
x2
1 x
1
e 80 dx = 0 +
160
2
x2
|0
1 x
1
e 80 dx = 2 802 = 6400
80
2
{z
}
1
) RV
E[X 2 ] for Exp( 80
0.3
(b) f X (x) =
0.006
0.1
if
if
if
if
0.3
x = 0;
if x = 0;
F X (x) =
0.3 + 0.006x if 0 < x < 100;
x = 100.
1
if x 100.
100
Z
E[X] = 0 0.3 + 0.006
Var[X]
=
=
1002
+ 10 = 0 + 30 + 10 = 40
2
100
0
100
480 + 0.002 (x 40)3 0 + 360 = 840 + 0.002 603 + 403 = 840 + 560 = 1400
( + + )
0
( + )
( + )
0
0
0
0
S
R
-
Using the transition diagram, note that we have the following conditions:
PDD (t) 1
PDH (t) PDS (t) PDI (t) 0
PSH (t) PIH (t) 0
Thus, using the Kolmogorov Forward Equations, we have P0 = PQ or
0
0
0
0
PHH (t) PHS (t) PHI (t) PHD (t)
PHH (t) PHS
(t) PHI
(t) PHD
(t)
0
0
0
0
PSS (t) PSI (t) PSD (t)
PSS
(t) PSI
(t) PSD
(t)
Q
= 0
0
0
0
0
0
PIS (t) PII (t) PID (t)
PIS (t) PII (t) PID (t)
0
0
0
1
0
0
0
0
so that in general, for state X (where X represents H, S, I or D), we have the differential equations:
0
PXH
(t)
= ( + + )PXH (t)
0
PXS
(t)
0
PXI
(t)
0
PXD
(t)
PXH (t)
ln PXH (t) = ( + + )t + C
d t
e PXD (t) = et
dt
et PXD (t) = et + C
Since we know PDD (t) 1, we are only interested in solving this differential equation in the case where X 6= D.
In this case, we can use the initial condition PXD (0) = 0 to deduce that C = 1 so we have:
et PXD (t) = et 1
= ( + )
PSS (t)
ln PSS (t) = ( + )t + C
0
(t) = PHH (t) ( + )PHS (t) + PHI (t) with PHH (t) = e(++)t and = 0, we have:
By using PHS
0
PHS
(t) = e(++)t ( + )PHS (t)
0
PHS
(t) + ( + )PHS (t) = e(++)t
This is a linear differential equation, so multiply by the integrating factor e(+)t to obtain:
d (+)t
e
PHS (t) = e(+)t
dt
, so we have:
e(+)t 1
PHS (t) =
e(++)t e(+)t
At last, we calculate PHI (t) by using PHH (t) + PHS (t) + PHI (t) + PHD (t) 1 together with PHH (t) = e(++)t ,
PHS (t) =
e(++)t e(+)t and PHD (t) = 1 et :
e(++)t e(+)t 1 et
PHI (t) = 1 e(++)t
= et +
e(+)t +
e(++)t
1
e(+)t + ( )e(++)t
= et +
e(++)t
e(++)t e(+)t
0
e(+)t
P=
0
0
0
(c)
et +
1
e(+)t + ( )e(++)t
et e(+)t
et
0
1 et
1 et
1 et
1
i. Since we have 1000 actuaries over a 2 year period, the total waiting time in all 4 states is 1000 2 = 2000 years.
We assume that all actuaries start in the healthy state. We also assume that checking into a hospital is a
transition from the healthy to the sick state, and if an actuary was placed directly into intensive care, then this
is a transition from the healthy to the intensive care state.
This gives us 81 transitions from H to I, and 598 81 = 517 transitions from H to S. At the end of the period
there are 307 healthy actuaries, so there were 1000 307 598 = 95 transitions from H to D.
During the observation period there were 264 transitions from S to I, and there were 243 sick actuaries at the
end, giving 517 264 243 = 10 transitions from S to D.
There were 81 transitions from H to I and 264 transitions from S to I, and there were 31 actuaries in intensive
care at the end of the period, leaving 81 + 264 31 = 314 transitions from I to D.
By the end of the period 1000 307 243 31 = 95 + 10 + 314 = 419 actuaries have died.
Assuming that they die in the middle of the period on average (uniform distribution of deaths), this gives
419 2 0.5 = 419 years of waiting time in state D.
The average waiting time spent in the hospital wards is 50 days, giving waiting time of
50
517
= 70.82191781 (8 dp)
365
years in state S.
The average waiting time spent in intensive care is 5 days, giving waiting time of
5
(81 + 264)
= 4.726027397 (9 dp)
365
years in state I.
Hence, we deduce that the waiting time spent in state H is
2000 70.82191781 4.726027397 419 = 1505.452055 (6 dp) years.
Thus, the maximum likelihood estimates of , and
517
=
=
1505.452055
81
=
=
1505.452055
264
=
=
70.82191781
are:
0.3434184426 (10 dp)
0.05380443684 (11 dp)
3.727659574 (9 dp)
HD
SD
ID
95
= 0.06310396914 (11 dp)
1505.452055
10
= 0.1411992263 (10 dp)
70.82191781
314
= 66.44057971 (8 dp)
4.726027397
Under the Markov model, the maximum likelihood estimates for transition rates are asymptotically independent,
and asymptotically normal with distribution:
d
.
N ,
E[V ]
Test:
H0 : HD = SD against H1 : HD 6= SD
Under the null, the test statistic is:
(
HD
) (HD SD )
(0.06310396914 0.1411992263) 0
qSD
q
= 1.730909121 (9 dp)
HD
SD
0.06310396914
0.1411992263
+
E[H] + E[S]
1505.452055
70.82191781
This is between 1.96 and 1.96, so we are unable to conclude that there is any significant difference between
HD and SD .
Test:
H0 : HD = ID against H1 : HD 6= ID
Under the null, the test statistic is:
(
HD
) (HD ID )
(0.06310396914 66.44057971) 0
qID
q
= 17.7031886 (8 dp)
HD
ID
0.06310396914
66.44057971
+
E[H] + E[I]
1505.452055
4.726027397
This is less than 1.96, so reject the null and conclude that HD and ID are significantly different.
Test:
H0 : SD = ID against H1 : SD 6= ID
Under the null, the test statistic is:
(
SD
) (SD ID )
(0.1411992263 66.44057971) 0
qID
q
= 17.68113289 (8 dp)
SD
ID
0.1411992263
66.44057971
+
E[S] + E[I]
70.82191781
4.726027397
This is less than 1.96, so reject the null and conclude that SD and ID are significantly different.
Statistically ID is significantly different from HD and SD , while there do not appear to be significant
differences between HD and SD , so in this model it might be more reasonable to assume that HD = SD = ,
and to use a different rate for ID . In making this decision, the extra accuracy provided would need to be weighed
up against the extra complexity of the model.
Version 1.5, 12/5/09
iii. Note that we want the probability of death over the observation period, not over a year.
Under the Binomial Model, the maximum likelihood estimator for q is Nd :
q =
419
= 0.419
1000
Thus, under the Binomial model, the estimated probability of death over the observation period is 0.419 .
iv. Under the Poisson model, the maximum likelihood estimator for is Edc .
x
Assuming the Uniform Distribution of Deaths and a yearly basis, we have:
419
419
=
= 0.2650221379 (10 dp)
2000 419
1581
Then
419
=
=
=
1 0 PSS (t) (1 et )
+ t
1 t
e
e
+ e(++)t
+
+
t
e
e(++)t
+
PIS (t)
PII (t)
t
e
e(++)t
+
1 t
e
+ e(++)t
+
Appendix
Version 1.5: Removed some ambiguities from Question 3c and corrected errors in solutions.
Version 1.4a: Placeholder document informing students of error in solutions.
Version 1.4: First released to students.
This document was originally written by Jonathan Shen in 2009. It was reviewed by Stephanie Wong.
10