THE UNIVERSITY OF NEW SOUTH WALES

SEMESTER 1
ACTL 3001: Actuarial Statistics
Class Test 1
Friday, 26 March 2010
Write the required information on the space provided:

Name:

Student ID:

Circle the tutorial session which you are enrolled for:

Kieran -A (Tue 3pm-4pm)
Kieran -B (Wed 11am-12noon)
Jinxia (Wed 2pm-3pm)

Timothy -A (Tue 4pm-5pm)

Timothy -B (Wed 12noon-1pm)
Kieran -C (Wed 3pm-4pm)

INSTRUCTIONS:
Read through the following information carefully. DO NOT COMMENCE WRITING UNTIL YOU ARE TOLD TO DO SO.
Time Allowed: 50 minutes
Reading time: 5 minutes
Total Assessment credit: 10%
Total Marks available: 100 points
This examination paper has 7 pages
Total number of questions: FIVE
All questions are not of equal value. Marks allocated for each part of the questions are
indicated.
This is a closed-book test and no formula sheets are allowed except for the Formulae and
Tables for Actuarial Exams (any edition). IT MUST BE WHOLLY UNANNOTATED.
Use your own calculator for this exam. Calculators are permitted, but must be UNSW
and/or Actuarial Studies approved.
Show all necessary steps in your solutions in the space provided (if necessary, you can
also use the back pages). If there is no written solution, then no marks will be
awarded.
STUDENTS WRITING AFTER THE EXAM TIME HAS EXPIRED WILL
SCORE A MARK OF ZERO. ACADEMIC MISCONDUCT ACTION MAY
ALSO RESULT.
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Question 1. (7 marks)
Suppose that a survival distribution is defined by

2
exp{ (11x)
121
}, for 0 x 10
2
2
S(x) =
exp{x 50},
for 10 < x < 30
Find the force of mortality (x) for 0 < x < 30.

Question 2. (19 marks)

(a) [9 marks] Prove that under the uniform distribution of deaths between-the-integralages assumption, for any positive integer x,
t px+s

1 (s + t) qx
.
1 s qx

Determine the range of s and t such that the above formula holds.

(b) [10 marks] Given that p49 = 0.99219, 2 q50 = 0.01829, and p52 = 0.98926, use uniform
distribution of deaths between-the-integral-ages assumption to calculate 3.1 q49.4 .

Question 3. (31 marks)

Consider the following data for a group of 9 rats injected with Drug A:
Time (Day) Event
2
1 rat died due to Drug A
4
1 rat escaped
5
1 rat died due to Drug A
8
2 rats died due to Drug A
12
1 rat died due to Drug A and 1 rat was killed by the other rats
17
1 rat died due to Drug A
18
Investigation closed.
(a) [10 marks] Use F (x) to denote the cumulative distribution function of the above
group of rats. Write down the total likelihood for these observations.

(b) [12 marks] Based on the likelihood obtained in (a) only, describe the shape of the
maximum likelihood estimate of F (x) without doing any calculation. Explain the reason for
your answer.

(c) [9 marks] Suppose that you have found that the Kaplan-Meier estimate of the survival function for the above group of rats at t = 5 (day) is 0.76190. Derive a 95% confidence
interval for the Kaplan-Meier estimator of the survival function for the above group of rats
at t = 5 (day).

Question 4. (22 marks)

A study was performed to investigate the difference in the effectiveness of 2 types of drugs
(drugs A and B) to the survival time of rats. The survival times (in days) for the group of
rats injected with Drug A are 2, 3 , 12 and 12. The survival times (in days) for the group
of rats injected with Drug B are 6 , 7, 9 , 15 . Here denotes a censored observation.
(a) [13 marks] Calculate the Log Rank statistic.

(b) [9 marks] Suppose that you know the variance for the above Log Rank statistic
is 0.71222. Perform the Log Rank test and answer the question of this study, carefully
explaining the reason for your answer.

Question 5. (21 marks)

Suppose you have observed lifetimes (in years) for a group of 5 lives:
70 (smoker), 72 (non-smoker), 75 (non-smoker), 80 (smoker) and 81 (smoker). You
propose to use the Cox model with the covariate z = 0 if a smoker and = 1 if a non-smoker.
(a) [11 marks] Determine the partial likelihood for these observations using the Cox model
above.

(b) [10 marks]Suppose you know that the maximum likelihood estimate for the regression
coefficient is log 3 and that the probability of death within 5 years for a non-smoker aged
70 is 0.25. What is the probability that a smoker aged 70 dies within 5 years.

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