ACTS 4304

Instructor: Natalia A. Humphreys

HOMEWORK 10
Lesson 21: Variance of Empirical Estimators with Complete Data.
Lesson 22: Kaplan-Meier and Nelson-Aalen Estimators.
Due: April 21, 2015 (Tue)
Sufficient work must be shown to get credit for a correct answer. Partial credit may be given for
incorrect answers which have some positive work.
Problem 1
In a mortality study on 10 lives, times at death are 65, 78, 89, 96, 101, 164, 187, 192, 264, 290.
The empirical distribution is used as a model for the underlying distribution of time to death for the
population.
Calculate V ar (F10 (180)) and V ar (f10 (290)).
Problem 2
You are given the following information for claim sizes:

Claim Size X

Number of Claims

1-2000

2000-3500

41

3500-5000

37

5000-8000

15

An ogive is used to estimate the distribution of losses.

1. Estimate the variance of the estimator for the probability of a loss greater than 4000.
2. Estimate the variance of the estimator for the density function at 4000.
Problem 3
You are given the following data on loss sizes for an insurance coverage:
4, 6, 7, 9, 12, 14, 15, 16, 18, 20
Assume that there is an ordinary deductible of 7, and losses 7 and lower are not submitted as claims.
Estimate the variance of the probability of a claim resulting in a payment of more than 9
Problem 4
In a mortality study on 45 lives, one death occurs at each of times 3, 6, and 9. There are no
withdrawals. Estimate the variance of the empirical estimator of 5 q3 .
Problem 5
A mortality study, 15 lives are under observation. One death apiece occurs at times 2, 5, 7, and 10,
two deaths occur at time 6, and three deaths at time 12. One withdrawal apiece occurs at times 6, 8
and 11. One life arrives at times 2, 5 and 10. The study concludes at time 15.
Calculate the product limit estimate of the survival function.

Copyright Natalia A. Humphreys, 2015

ACTS 4304. SP 2015. HOMEWORK 10.

Problem 6
Assume that you are given the same data as in Problem 5. Using the product limit estimator,
estimate:
1. the probability of a death occurring at any time greater than 5 and less than 10.
2. the probability of a death occurring at any time greater than or equal to 5 and less than or equal
to 10.
Problem 7
Let di be the entry time, ui be the withdrawal time, and xi be the death time. You are given the
following data from a mortality study:

di xi ui

Estimate the survival function using the product-limit estimator.

Problem 8
An insurance company sells two types of auto comprehensive coverage. Coverage A has a deductible
of 200 and a maximum covered loss of 1200. Coverage B has a deductible of 600 and a maximum
covered loss of 2000. The company experiences the following loss sizes:
Coverage A: 100, 250, 600, 800, and two losses above 1200.
Coverage B: 450, 600, 850, 1200, 1600, 1900, and a loss above 2000.
Let X be the loss size. Calculate the Kaplan-Meier estimate of the probability that a loss will be
greater than 1300 but less than 1900.
Problem 9
Using the data in Problem 5, you are to use the Kaplan-Meier estimator, with an exponential to
extrapolate past the end of the study. Determine S15 (18).
Problem 10
Eight deaths are observed:
4 6 7 7 8 10 10 13
In addition, there was one censored observation apiece at times 7, 9, and 12.
Calculate the absolute difference between the product-limit and Nelson - Aalen estimates of S(10).

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