Actuarial Notes

CAS Exam MAS-II Fall 2018, Question 41

Study guide: Exam MAS-II

You are provided with the following normalized and scaled data set:

i X_1 X_2 X_3
1 -0.577 1 -1
2 -0.577 1 1
3 -0.577 -1 1
4 1.732 -1 -1

The first principle component loading vector of the data set is (0.707, -0.500, -0.500).

Calculate the proportion of variance explained by the first principle component.

  • A) Less than 53%
  • B) At least 53% but less than 58%
  • C) At least 58% but less than 63%
  • D) At least 63% but less than 68%
  • E) At least 68%

Answer this question and see the worked solution

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