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Hey Molly, continuous time lognormal model is same as geometric Brownian motion You can refer to Pg 20, CM2 Ch 8 in CMP course notes where you...
Regarding the second query - Question asks to state the continuous-time log-normal model in part (i)
Does this help? I used Taylor's formula. Let f(B_t) = B_t^2 - t Taylor’s formula: df(B_t) = f’(B_t) dB_t + f’’(B_t)/2 [dB_t]^2 + f’(t) dt...
While presenting mathematical solutions, is it sufficient to present the mathematical intermediate steps using a sample? For example, in a...
W.r.t. Ch 21, section 3.2, application of average cost per claim method - Why simple averages of gross-up factors preferred over development...
I figured myself. Ignore me. Thanks
Is there any back of the envelope calculation I can do to determine tail dependence for copulas if I know the generator function? eg For Gumbel...
Risk margin is estimated in respect of non-hedgeable SCR. Yes. if you ignore diversification benefit, it would be: 140 (cat risk) + 25 (cpd risk)...
Noting few more points as I do the same question - Physical risks - increase in crop insurance related claims - adverse effect on diversification...
Can you repost the attachment? I am trying to download but resulting in error.
Thanks, Darren.
How did they calculate DAC in question 9.10 I tried treating it as unearned commission; also, as 55% of UPR carried forward to the next year. In...
