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UNIV ERSIT Y EXAM INAT IONS 2023/2 024

ELOR
FOUR TH YEAR EXAM INAT ION FOR THE DEGR EE OF BACH
OF SCIEN CE IN STAT ISTIC S AND BACH ELOR OF
SCIEN CE IN ACTU ARIA L SCIEN CE

STA 406 : APPL IED STOC HAST IC PROC ESSES

DATE:12TH JUNE ,2024 TIME :9.00- 11.00A M

ANSW ER QUES TION ONE AND TWO OTHE R QUES TION S

QUES TION ONE : 30 MARK S

(a) The offspring <listribution of a branching process is

1 1 3
= 2- P2 = 8, Pk= O; k = 3, 4, ....
Po =
8, P1

Further let Xn denote the population size of then-t h generation, X 0 =1.

Find ,1
\ ,.. \ ,?-S ..,,
(i) Pr(X3 = 0)
~ (3mark s)

(ii) t he expected value o f t ? ~ up to the 12-th generation

(2 marks)

ccurren ce
(b) Let {N(t) ; t 2.'. O} be a renewa l process with the Poisson distrib uted inter-o
times Ti with rate parame ter 1.6. Find the renewal function of the process
(5 marks)

1
 --- -- - -

. • ance fim1 is
. d in a certain msur
(c) The distribu tion of the number of cla ms N ma e
1 ,\ = 1.5. The
. d"15 'b t'10n with rate paramet er. b b'lities Q.8
assumed to be described using P01sson tn u .
000 01. 82000 with respecti ve pIO a I
• • • • • •

amount an md1ndu al clauns 1s either <Dl

('.I
N l t tal
n.ll<l 0.2. Let Xi be the amount claimed by individu al i and Y = I:i=l Xi
be tie o.

amount claimed.
What is the probabi lity that the total amount Y claimed is$ 6000 ? (5 marks)

= 2: n=
(<l) Let {\V(t) ; t ~ O} he a pure <leath process with constan t death rate .!1n.
1, 2... , N. If t-V(0) = N;

(i) the probabi lity that the first <leath took place in less than fiye units of time.
(2 murks)

(ii) On average. how long docs it take for the process to die out?
(2 marks)

on
(e) Let {X(t); t = 0, 1. 2 . ... } be a i\larkov chain with three states {l, 2, 3} and transiti
probabi lity matrix

P-u in.
If X(O) = 1: comput e the probabi lity Pr[X(l) =2,X(3 )=3,X(5 )=1]
~
(4 marks)

three
(f) Find the prohabi lity of a major outbrea k for a S-I-R epidemi c model that had
infective individu als initially in the populat ion if the basic reprodu ction number is
(i)l.05 (ii) 2.57.
Comme nt on the results above.
(4 marks)

ntial
(g) A single-server service centre has a capacity of at most three custom ers.Pote
to
custome rs arrive at a Poisson rate of 3 per hour. If the time the server takes
serve o. custome r is exponen tially distribu ted with mean of ¼ hour; what proport ion
of potentia l custome rs enter the service centre?
0\. (4 marks)

~ Y7
2
 QU EST ION TWO: 20 MA RK S
dislributio11 with µara mete r ). , wher e .>.
(a) A bran chin g proce:::;s ha.c:; Pois son offspring
distr ibuti on \Vith para mete r {1.
ilsel f is a rarnl orn varia ble havi ng expo nent ial
Find
ring distr ibuti on·/
(i) the prob abili ty gene ratin g func tion of the offsp
(4 mark s)

(ii) the aver age num ber of offspring prod u~ed

per indiv idua l. ✓
(2 mark s)

(iii) For wha t valu es of ). and /3 is the prob abili ty of ultim ate extin ction less than
one? i/ ·' (2 mark s)

on
(b) { Zn: n. = 0, 1, 2 1
••• • }is a bran chin g proc ess with offspring distr ibuti

Po = P, P1 = 1- P, Pk = 0, k = 2, 3, ...

of the offspring distr ibuti on and Rn(s)

Let G(s) be the prob abili ty gene ratin g func tion
l prog eny up to the n-th ge·ne ratio n
he the prob nhili ty_gene ratiu g func tion of the fotr1.
. Assu ming Z 0 = l;
Fnd
G 11 (s) of n-th gene ratio n Z,1
(i) the prob abili ty gene ratin g func tion ,.-<'T°'
(5 mark s) cf/
mes extin ct.
(ii) E[T] ; Tis time whe n the popu latio n first beco
(3 mark s) .//"

on of total prog eny in

(iii) H(s) = lirfin-+'.Xl R, 1 (s). Wha t is the prob abili ty distr ibuti
this case ? (4 mark s) I/

3
 QUESTION THREE:20 MARKS
2
(a) Consider a linear birth-death process {Y(t): t ~ O} with birth rate >-n = n>.: n= 0,1. ···· ..
and death rate µn = n.Jl,; n=l,2, ....
If initially there is one individual in the system, what is the average population size
at any time t?
(8 marks)

(b) Potential customers arriYc at a small bank according to a Poisson process with
rate of 2 customers per hour. The bank has only two tellers A and B to serve the
customers and a waiting area for five customers to queue while the two tellers are
busy. The service times for the two tellers arc exponentially distributed with rates 2
customers per hour for teller A and 1 customer per hour for teller B.
Assuming that the system is in steady state and that if there is only one customer,
he is served by teller A;

(i) What is the probability that a customer is turned away?

(6 marks)

(ii) Find the average time spent by customers in the bank

(4 marks)

(iii) If the two tellers are busy, on average how long does a customer wait before
being served?
(2 marks)

4
- - - - - - -- -- -- - - - -- -- - - - - - -- - - - - -

QtlESTION·FOUR: 20MARKS

(a) Let N (t) be the number of carriers of a disease at time t in a certain community
have Poisson distribution '\vith rate parameter a = 2.4. Further let the number
of persons infected by different carriers be independent and identically distributed
random variables having Poisson distribution with parameter /3 = 0.75. Find the
probability that the total number of persons infected by time t = 120 is between 200
-=-
and 250 .
~w~
\ l -:: 1 ·'1 k
~j,l ~ ~ ) ~c.. <
_
:;0 ·
~ ~ _1 $X '). . '1 ;,e \1-" (6 marks )
(b) An insurance company that has three types of policy: A, Band C. Total claims from
the company a1Tive according to a Poisson process at the rate of ten per day. The
probability that a claim received is for a client h[!lder of policy A is 0.25 and that it
is for a client holding policy B ·is 0.4. The ~ompany has classified the>claims as large
if amount is over $10000 otherwise it is small. The probability that a claim for policy . A

A is large is 0.33; tliat a claim of policy B is large is 0.65 and finally that a claim of
policy C is large is 0.22.
Assuming the company works for only five days a week and that all processes aboYe
are independent of each other:
Find a)
k

(i) the probability that at most four of ten claims made on a given day are of policy 1/
C.
(3 marks)

(ii) the probability that no more than two claims of policy A will be small and at 7l
least three claims of policy B will be large on any day. _ f\
1
\ ~/ ~
~ (4 marks)
(iii) the expected number of large claims on any two given days.
(2 marks)
(iv) the probability that the large claims made of policy B are be fewer than thirty-
seven on any given two week period.
(3 marks)
f (v) the prob.ability that there will a lapse of two days between successive small
claims by clients under policy C.
(2 marks)

5
 QUESTION FIVE: 20 MARKS

(a ) Two proce::;:,ors continually proces8 an unending number of tasks. A renewal is con-

sidered to take place each time a task is completed. The time that it takes processor
One to complete a task is exponentially distributed with rate 0.25: whereas he time
that it takes for processor Two to complete a task is gamma dist.ributed with rate
parameters 8 and 2 . For the two processors collectively: find the probability that by
time t = 120; at least 72 tasks have been completed .
(7 marks)

(b) A simple birth process {X(t):t 2: O} has birth rate parameter An= 3n. If X(O) = 2;
find

(i) ou average I10w long it takes until there are three births in the process
(3 marks)
(ii) E[X(t)] and Var[X(t)]
(10 marks)

6
 Form ulae

(i) For bran chin g process:

aive11 h'".; s
(i) prob abili tvJ of ext1·nct1·on 1·s o• = G ( s )where G (s) is p.g.f of offspring
distr ibuti on

(ii) istrib ution of time to extin ction Tis given

by Pr(T = n) = G,.(O) - G,,_ 1 (0)
1
(iii) E[to tal progeny] = - I µ"+
1
- µ
on
wher e µ is the expe cted value of offspring distr ibuti
birth process are
(ii) Th(> difference-differential equa tions for pure

P~(t) = ->..oP0 (t)

P~(t) - AnPn(t) + An-1 Pn- 1(t) n = l, 2, .....

death process are

(iii) The difference-differential equa tions for pure

P,~(t) = -µNP N(t)

P~ (t) = -µnP n(t) + µn - +Pn+I(t) n = 1. 2, .. ... , N - 1

th process are
(iv) The difference-differential equa tions for birth -dea

P~(t) = -AoPo(t) + µ1Pi(t)

-(An + µn)Pn(t) + An-lPn-1 (t) + µn+1Pr1+I (t) n = l, 2, .....
P~(t) =

(v) E [(pop ulati on size at time t)] = !vh(t) = I:n nk Pn(t) k = 1, 2, 3, ...

th process with birth and death param eters

( vi) The stead y state prob abili ties of birth -dea
An and µn are given by
n = l, 2, .. ..

(vii) For num ber of renewals N(t);

E[N( t)] = ~n Pr(S n ~ t); Sn(t) is waiti ng time until n -th renewal occurs
2
; N (t) ~ N (;, ;:, ) ; µ and 0' are
the mean and varia nce of inter-
as t ➔ 00

arriv al times

7
..:;
,
Cumulative probabilities for NEGATIVE z-values are shown in the following table: - - -
z o.oo '
0.01 0.02 0.03
-3.4 0.0003 0.04 0.05 0.06 0.07 0.08 0.09
0.0003 0.0003 0 .0003
-3.3 0.0005 0.0003 0.0003 0.0003 0.0003 0.0003 0.0002
0.0005 0.0005 0.0004
-3.2 0.0007 0.0004 0.0004 0.0004 0.0004 0 .0004 0 .0003
0.0007 0.0006 0.0006
-3.1 0.0010 0.0006 0.0006 0.0006 0.0005 0.0005 0.0005
0 .0009 0.0009 0.0009
-3.0 0.0013 0.0008 0.0008 0.0008 0.0008 0.0007 0.0007
0.0013 0.0013 0.0012 0.0012 0.0011 0.0011 0.0011 0.0010 0 .0010
-2.9 0.0019 0.0018 0.0018 0.0017 0.0016
-2.8 0 .0026 0.0025 0.0016 0.0015 0.0015 0 .0014 0.0014
0.0024 0.0023 0.0023
-2.7 0.0035 0.0034 0.0022 0.0021 0.0021 0 .0020 0 .0019
-2.6 0.0033 0 .0032 0.0031
0.0047 0.0045 0.0030 0.0029 0.0028 0.0027 0.0026
0.0044 0.0043 0.0041
-2.5 0.0062 0.0060 0.0040 0.0039 0.0038 0.0037 0.0036
0.0059 0 .0057 0.0055 0.0054 0.0052 0.0051 0.0049 0 .0048
-2.4 0.0082 0 .0080 0.0078 0.0075 0.0073
-2.3 0 .0107 0.0104 0.0071 0.0069 0.0068 0.0066 0 .0064
0.0102 0.0099 0.0096 0.0094
-2.2 0.0139 0.0136 0.0091 0.0089 0.0087 0 .0084
0.0132 0.0129 0.0125 0.0122
-2.1 0 .0179 0 .0174 0.0119 0.0116 0.0113 0.0110
0.0170 0.0166 0.0162 0.0158
-2.0 0.0228 0.0222 0.0154 0.0150 0.0146 0.0143
0.0217 0.0212 0.0207 0.0202 0.0197 0.0192 0.0188 0 .0183
-1.9 0.0287 0.0281 0.0274 0.0268 0.0262 0.0256 0.0250 0.0244
-1.8 0.0359 0.0351 0.0239 0.0233
0.0344 0.0336 0.0329 0.0322 0.0314
-1.7 0.0446 0.0307 0.0301 0.0294
0.0436 0.0427 0.0418 0.0409 0.0401
-1.6 0.0392 0.0384 0 .0375 0.0367
0.0548 0.0537 0.0526 0 .0516 0.0505 0.0495
-1.5 0.0485 0.0475 0.0465 0 .0455
0 .0668 0 .0655 0.0643 0.0630 0.0618 0.0606 0.0594 0.0582 0.0571 0.0559
r· - ~ ·7 -;-1-.:4 0.0808 0.0793 0.0778 0.0764 0.0749 0.0735
( 0.0721 0.0708 0.0694 0.0681
I
/(
l ••
, -1.'3 0 .0968 0.0951 0.0934 0.0918 0.0901 0.0885 0.0869 0.0853
' -1.2 0.0838 0 .0823
0.1151 0.1131 0.1112 0.1093 0.1075 0.1056 0.1038 0.1020 0.1003 0.0985
1· / - ~c; -1.1
\.1.0
0.1357
0.1587
0.1335
0.1562
0 .1314
0 .1539
0.1292
0.1515
0.1271
0.1492
0.1251
0.1469
0.1230
0.1446
0.1210
0.1423
0.1190
0.1401
0.1170
0.1379

~ ~ -0.~
0 .1841
0.2119
0 .2420
0.1814
0.2090
o.238~r
0 .1788
~2q_BJ
0.2358
0 .1762
0.2033
0.2327
0.1736
0.2005
0.2296
0.1711
0.1977
0.2266
0.1685
0.1949
0.2236
0.1660
0.1922
0.2206
0.1635
0.1894
0.2177
0.1611
0.1867
0 .2148
-0.6 0.2743 0 .2709 0 .2676 0.2643 0.2611 0.2578 0.2546 0.2514 0.2483 0.2451
-0.5 0.3085 0.3050 0.3015 0.2981 0.2946 0.2912 0.2877 0.2843 0.2810 0.2776

-0.4 0.3446 0 .3409 0.3372 0.3336 0.3300 0.3264 0.3228 0.3192 0.3156 0.3121
-0.3 0.3821 0 .3783 0.3745 0.3707 0.3669 0.3632 0.3594 0.3557 0.3520 0.3483
-0.2 0.4207 0.4168 0.4129 0.4090 0.4052 0.4013 0.3974 0.3936 0.3897 0.3859
-0.1 0.4602 0.4562 0.4522 0.4483 0.4443 0.4404 0.4364 0.4325 0.4286 0.4247
0.0 0.5000 0.4960 0.4920 0.4880 0.4840 0.4801 0.4761 0.4721 0.4681 0.4641

lo -- 1· ~ \
 rd N~r mai C umu lativ e Probab t
ili_y _
_T_a _
bl_e_ __ __ __ __ __ __ - ------- ------
Stan~a

1 1 185 f
Cum ulati ve prob abTf or
PO
SITIVE z-values are shown in the following
table: ,

0.00 0.06 0.07 0.08 0.09

2 0.01 0.02 0.03 0.04 0.05
0.5239 0.5279 0.5319 0.5359
0.0 0.500 0 0.504 0 0.508 0 0.5120 0.5160 0.5199
0.5636 0.5675 0.5714 0.5753
0.1 0.539 8 0.543 8 0.547 8 0.5517 0.5557 0.5596
0.6026 0.6064 0.6103 0.6141
0.2 0.579 3 0.583 2 0.5871 0.5910 0.5948 0.5987
0.6406 0.6443 0.6480 0.651 7
0.3 0.617 9 0.621 7 0.625 5 0.6293 0.6331 0.6368
0.6772 0.6808 0.6844 0.687 9
0.4 0.655 4 0.6591 0.662 8 0.6664 0.6700 0.6736

0.7123 0.7157 0.7190 0.7224

0.5 0.691 5 0.695 0 0.698 5 0.7019 0.7054 0.7088
0.7454 0.7486 0.751 7 0.754 9
0.6 0.725 7 0.7291 0.7324 0.7357 0.7389 0.7422
0.7764 0.7794 0.7823 0.785 2
0.7 0.758 0 0.7611 0.7642 0.7673 0.7704 0.7734
0.8051 0.8078 0.8106 0.813 3
0.8 0.7881 0.791 0 0.7939 0.7967 0.7995 0.8023
0.8315 0.8340 0.8365 0.838 9
0.9 0.815 9 0.818 6 0.8212 0.8238 0.8264 0.8289

0.8554 0.8577 0.8599 0.8621

0.841 3 0.843 8 0.8461 0.8485 0.8508 0.8531
1.0 0.8790 0.8810 0.883 0
0.8686 0.8708 0.8729 0.8749 0.8770
1.1 0.864 3 0.866 5 0.8997 0.901 5
0.8907 0.8925 0.894 4 0.8962 0.8980
1.2 0.884 9 0.886 9 0.8888 0.9162 0.917 7
0.9099 0.9115 0.9131 0.9147
1.3 0.903 2 0.904 9 0.9066 0.9082 0.931 9
0.9251 0.9265 0.9279 0.9292 0.9306
1.4 0.919 2 0.920 7 0.9222 0.9236

0.9394 0.9406 0.9418 0.942 9 0.9441

0.933 2 0.934 5 0.9357 0.9370 0.9382
1.5 0.9505 0.9515 0.9525 0.953 5 0.954 5
0.945 2 0.946 3 0.9474 0.9484 0.9495
1.6 0.9599 0.9608 0.9616 0.9625 0.963 3
0.95p 4 Q.9564 0.9573 0.9Ji82 0 95.91
1.7 0.9678 0.9686 0.969 3 0.969 9 0.970 6
0.964 9 0.9656 0.9664 0.9671
1.8 0.9641 0.9750 0.9756 0.9761 0.976 7
0.971 9 0.9726 0.9732 0.9738 0.9744
1.9 0.971 3
0.9793 0.9798 0.9803 0.980 8 0.981 2 0.981 7
0.9772 0.977 8 0.9783 0.9788
2.0 0.9842 0.9846 0.985 0 0.9854 0.985 7
0.982 6 0.9830 0.9834 0.9838
2.1 0.9821 0.9878 0.9881 0.9884 0.988 7 0.989 0
0.986 4 0.9868 0.9871 0.9875
2.2 0.9861 0.9906 0.9909 0.9911 0.991 3 0.991 6
0.989 6 0.9898 0.9901 0.9904
2.3 0.989 3 0.9929 0.9931 0.993 2 0.9934 0.993 6
0.992 0 0.9922 0.9925 0.9927
2.4 0.991 8
0.9945 0.9946 0.9948 0.994 9 0.995 1 0.995 2
0.993 8 0.994 0 0.9941 0.9943
2.5 0.995 9 0.9960 0.9961 0.996 2 0.996 3 0 .9964
0.995 3 0.995 5 0.9956 0.995 7
2.6 0.9969 0.9970 0.997 1 0.997 2 0.997 3 0 .9974
0.996 5 0.996 6 0.9967 0.996 8
2.7 0.997 7 0.9978 0.9979 0.997 9 0.998 0 0.9981
0.997 4 0.997 5 0.997 6 0.997 7
2.8 0.9984 0.9984 0.9985 0.998 5 0.998 6 0.998 6
0.9981 0.998 2 0.998 2 0.998 3
2.9
0.998 8 0.9989 0.998 9 0.998 9 0.999 0 0.999 0
0.998 7 0.998 7 0.998 7 0.998 8
3.0 0.9992 0.999 2 0.999 2 0.999 2 0.999 3 0.9993
0.999 0 0.9991 0.9991 0.9991
3.1 0.9994 0.9994 0.9994 0.999 5 0 .9995 0.999 5
0.999 3 0.999 3 0.9994 0.999 4
3.2 0.999 6 0.999 6 0.999 6 0.999 6 0.999 6 0.9997
0.999 5 0.999 5 0.999 5 0.999 6
3.3 0.999 7 0.999 7 0.999 7 0.999 7 0.999 7 0.999 8
0.999 7 0.999 7 0.9997 0.999 7
3.4