Professional Documents
Culture Documents
MASII Sample Questions
MASII Sample Questions
1.
In the supplemental material, you have been given a case study, “Systolic Blood Pressure Case
Study”, showing the results of different treatment options and the description of how that study
was set up. There are different ways of setting up models to examine the benefits of the different
treatment options. You have been asked which of two model structures will give a better fit to
the experience.
All eight treatment options in the fixed effects section of the model
A random effect of doctors nested within hospitals
An assumption that the variance that variance by treatment can be grouped under
Variance Group #1
All eight treatment options in the fixed effects section of the model
A random effect of doctors nested within hospitals
An assumption that the variance by treatment can be grouped under Variance Group #2
The null hypothesis is that variance is constant across all treatment effects.
Determine the level of significance at which one would reject the null hypothesis using a
likelihood ratio test.
1
2.
In the supplemental material, you have been given a case study, “Systolic Blood Pressure Case
Study”, showing the results of different treatment options and the description of how that study
was set up. There are different ways of setting up models to examine the benefits of the different
treatment options. You have been asked which of two models structures will give a better fit to
the experience.
Treatment options should be grouped using Mean Group #1 in the fixed effects section of
the model
A random effect of doctors nested within hospitals
An assumption that the variance that variance by treatment can be grouped under
Variance Group #1
All eight treatment options in the fixed effects section of the model
A random effect of doctors nested within hospitals
An assumption that the variance that variance by treatment can be grouped under
Variance Group #1
The null hypothesis is that the Mean Group #1 should be retained to evaluate the effectiveness of
treatment options.
Determine the level of significance at which one would reject the null hypothesis using a
likelihood ratio test.
2
3.
Calculate the estimated claim count for Month 4 using the Bühlmann-Straub credibility
approach.
A. Fewer than 12
B. At least 12, but fewer than 15
C. At least 15, but fewer than 18
D. At least 18, but fewer than 21
E. At least 21
3
4.
𝑋 is the claim severity random variable which can take values 100, 250, or 500.
The distribution of 𝑋 differs by the risk group, 𝜃.
The following data table:
𝑃[𝑋 = 𝑥|𝜃]
𝜃 𝑃[𝛩 = 𝜃] Claim Frequency 𝑥 = 100 𝑥 = 250 𝑥 = 500
1 0.30 0.25 0.20 0.20 0.60
2 0.30 0.50 0.50 0.50 0.00
3 0.40 0.25 0.50 0.25 0.25
A sample of three claims with claim severities of 250, 250, and 500 is observed.
4
5.
Reference Model
(1) (2) (3)
𝑌𝑖𝑗 = 𝜷0 + 𝜷1 𝑿𝑗 + 𝜷2 𝑿𝑗 + 𝜷3 𝑿𝑗 + 𝑢𝑗 + 𝜀𝑖𝑗
P equals -2 times the log-likelihood using the Maximum Likelihood (ML) estimates of these
parameters.
Q equals -2 times the log-likelihood using the Restricted Maximum Likelihood (REML)
estimates of these parameters.
Nested Model
(1) (2)
𝑌𝑖𝑗 = 𝜷0 + 𝜷1 𝑿𝑗 + 𝜷2 𝑿𝑗 + 𝑢𝑗 + 𝜀𝑖𝑗
R equals -2 times the log-likelihood using the ML estimates of these parameters.
S equals -2 times the log-likelihood using the REML estimates of these parameters.
You wish to use a likelihood ratio to test the null hypothesis of 𝜷3 = 0 against the alternative
hypothesis of 𝜷3 ≠ 0.
Determine the value of the test statistic for this likelihood ratio test.
A. Test Statistic = S / Q
B. Test Statistic = R / P
C. Test Statistic = S - Q
D. Test Statistic = R - P
E. None of (A), (B), (C) or (D)
5
6.
You have fit a Linear Mixed Model to a dataset consisting of severities for every claim observed
in a certain time period, producing the following summary:
Scaled residuals:
Min 1Q Median 3Q Max
-2.9602 -0.6086 -0.1042 0.5144 5.2686
Random effects:
Groups Name Variance Std.Dev.
State (Intercept) 1.562 1.250
Residual 2.920 1.709
Number of obs: 578, groups: State, 50
Fixed effects:
Estimate Std. Error t value
(Intercept) 27.57033 1.81801 15.165
Age -0.53549 0.06349 -8.434
The entry in the dataset for the single observed claim in Alaska is:
Calculate the empirical best linear unbiased predictor for the Alaska random effect.
6
7.
You are given the following statements about iterative numerical optimization algorithms to
estimate the covariance parameters of a Linear Mixed Model.
7
8.
A stochastic process has the following relationship between a dependent random variable, 𝑌, and
independent random variables, 𝑋1 and 𝑋2 :
Some data from the process was collected and split into a training and testing portion. An
analysis was performed that involved fitting a series of models to the training portion of the data
to uncover the relationship above. Each model has a different linear equation.
𝑀𝑜𝑑𝑒𝑙1: 𝑦𝑖 = 𝛼 + 𝛽1 𝑥1𝑖 + 𝜖𝑖
𝑀𝑜𝑑𝑒𝑙2: 𝑦𝑖 = 𝛼 + 𝛽1 𝑥1𝑖 + 𝛽2 𝑥2𝑖 + 𝜖𝑖
2
𝑀𝑜𝑑𝑒𝑙3: 𝑦𝑖 = 𝛼 + 𝛽1 𝑥1𝑖 + 𝛽2 𝑥2𝑖 + 𝛽3 𝑥1𝑖 + 𝜖𝑖
2 2
𝑀𝑜𝑑𝑒𝑙4: 𝑦𝑖 = 𝛼 + 𝛽1 𝑥1𝑖 + 𝛽2 𝑥2𝑖 + 𝛽3 𝑥1𝑖 + 𝛽4 𝑥2𝑖 + 𝜖𝑖
Three sets of prior distributions on the 𝛽 parameters are provided below. For a given model, all
𝛽 parameters have the same prior distribution and 𝛼 has the same prior distribution across all
four models.
Four plots that show deviance on training and testing data for each combination of model and
prior distribution are presented on the following page. At most, only one of the plots was
produced by the analysis. The observations in the training and testing data are the same for every
model fit.
8
Determine which plot was most likely produced by this analysis.
A. Plot I
B. Plot II
C. Plot III
D. Plot IV
E. None of the plots
9
9.
I. If the actuary has strong prior beliefs about 𝜇, it will affect the Bayesian's posterior
estimate of 𝜇.
II. In Bayesian inference, the probability that 𝜇 > 1000 falls in [0, 1].
III. In classical inference, the maximum likelihood estimate of 𝜇 is always equal to the
observed average.
A. None
B. I and II only
C. I and III only
D. II and III only
E. The answer is not given by (A), (B), (C), or (D)
10
10.
Suppose an insurer pursues two classes of business in the auto insurance market: class A and
class B.
Calculate the probability of the insurer experiencing no losses from this policy in the second
year.
A. Less than or equal to 0.70
B. Greater than 0.70 but less than or equal to 0.75
C. Greater than 0.75 but less than or equal to 0.80
D. Greater than 0.80 but less than or equal to 0.85
E. Greater than 0.85
11
11.
You are given the following data to train a K-Nearest Neighbors classifier with 𝐾 = 5:
Distance to
X1 X2 Y
X1 = 0, X2 = 5
4 4 Yes 4.1
1 6 No 1.4
7 5 No 7.0
5 5 Yes 5.0
2 7 Yes 2.8
7 2 Yes 7.6
8 4 Yes 8.1
8 6 Yes 8.1
2 3 Yes 2.8
2 5 No 2.0
2 2 Yes 3.6
6 6 No 6.1
1 8 No 3.2
0 5 Yes 0.0
12
12.
A data set contains six observations for two predictor variables, X1 and X2, and a response
variable, Y.
X1 X2 Y
1 0 1.2
2 1 2.1
3 2 1.5
4 1 3.0
2 2 2.0
1 1 1.6
A. I
B. II
C. III
D. IV
E. V
13
Answer Key
1 E
2 A
3 D
4 B
5 D
6 A
7 C
8 D
9 B
10 D
11 C
12 B
14