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The guarantee ensures that the customer never loses the monetary value of their investment - inflation however could be an issue after 10 years!...
There's no recognition of diversification benefits. So the capital amounts required to cover the risks from each business unit are summed together...
Looks good to me.
Yes, they're essentially the same thing. Contributions are made to fund the scheme. The scheme is funded by contributions (and investment return)....
There isn't a unique pair of portfolios that can be used, but here's how I would tackle the problem: Portfolio 1 should contain the derivative in...
The current (September 2023) IFoA Examinations Handbook says that "You cannot use functions only available in versions of Microsoft Office...
There is no requirement to do this in the current (September 2023) IFoA Examinations Handbook.
We can - that's how I would solve it.
1) The single factor models are driven by a single standard Brownian motion engine, and so there just isn't enough flexibility to generate yield...
Hi 1) The grossing-up factor gives the proportion of the ultimate claim amount that has been paid so far. 2) The grossing-up factor from Accident...
Yes, you're correct, they would make a loss on the sale of the call option if the share price is above 1.3S_t. However, the society will also have...
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Hi. The reason for selling the call is because of the phrase "up to a maximum level of 30% growth over the year". If the share price exceeds...
From your first expression, collect all of the Ep terms: (Ep-Eb)/(Ea-Eb) * sigmaA + (Ea-Ep)/(Ea-Eb)* sigmaB. This will give you the first half of...
Hi Your understanding is correct; P(B_{t}<0)=1/2. But if you keep zooming in and magnifying the Brownian motion around the origin, we can also say...