1.

8 Julia Bueno

October 19, 2020

[1]: using Distributions, Statistics

[2]: delta,beta,teta=1,3,1
## simulaciones de pareto m numero de simulaciones
m=1000000
xi=rand(Pareto(beta,teta),m)
ni=[Int(floor(xi[i]-teta)) for i=1:m]

[2]: 1000000-element Array{Int64,1}:

0
0
0
0
0
0
0
0
0
0
0
0
0
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0
0
0
0
0
0
0
0
0
1
0
0

1
[3]: yi=[]
S=zeros(m)
for i=1:m
if ni[i]>=1
a=rand(Pareto(2+1/(ni[i]),delta),ni[i])
yj=[a]
append!(yi,yj)
S[i]=sum(a)
else
S[i]=0
end

end

[4]: println("E(S)= $(mean(S))")

println("V(S)=$(var(S))")
println("Median(S)= $(median(S))")
println("VAR(S)= $(quantile(S,0.995))")

E(S)= 0.33431873538181506
V(S)=2.6141936374881363
Median(S)= 0.0
VAR(S)= 8.54079851617595

[5]: #S|S>0
S_sz=[]
for i=1:m
if S[i]!=0
append!(S_sz,S[i])
end
end

[6]: println("E(S|S>0)= $(mean(S_sz))")

println("V(S|S>0)=$(var(S_sz))")
println("Median(S|S>0)= $(median(S_sz))")
println("VaR(S|S>0)= $(quantile(S_sz,0.995))")

E(S|S>0)= 2.6613072183360797
V(S|S>0)=14.617262849564801
Median(S|S>0)= 1.5059500196530249
VaR(S|S>0)= 22.4180110295383