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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...
I see a note "Using a statistical package we get the following illustrative pure premiums by fitting distributions of the stated form with the...
In Chapter 12, Page 20, under the heading "Projecting Exposure Values", I read - "For example, a premium rate of £2 per mille set in 1980 might...
Thank you, mugono.
Thanks a lot for the direction, mugono, can you share the CEIOPS DOC number for the paper, please. The link is breaking. They migrated the...
SCR definition is calibrated to the Value at Risk of Basic Own Funds at 99.5% confidence level over a one-year time horizon. How do I verify this...
I was reading this IFoA working party paper today - https://www.actuaries.org.uk/system/...per-giro40.pdf In section 4.3 the authors explain the...
Hi, the page number inside the chapter is 69.
Can somebody explain the steps for the question on this page please. TIA
How did the author arrived at the percent cover exhausted to 8% on 12.5M to calculate the Reinstatement Premium in this question? The XoL covers...
They are considering the scenario before effecting individual xol which is why it's ES instead of ES_I.
Can somebody explain the intuition behind workings of question 13.9, please? TIA
Thanks, I think I got the concept correct.
In page 22 of chapter 6, I see a R snippet stating, we can define the aforementioned functions from first principles and the author went on to put...
Hey, thanks very much.
Thanks for the clear explanation.
In Page 17 of chapter 21, I read a sentence - "In a normal linear regression model, as we include more variables, the proportion of the variance...
How did the first equation came up? We write the Loss Random variable as PV Future Benefits + PV Future Expenses - PV future Premium. Why the V is...
I could not understand the following clearly. If someone can explain me here what is implied below in detail, if possible with the help of an...
A study of the mortality of 12 laboratory-bred insects was undertaken. The insects were observed from birth until either they died or the period...
It was from an IAI paper. And, no problem, I got it.
Got it clear. Thank you so much.
How did they calculate the integral while computing Sx? 1. If they are using Uy, why haven't they changed the value to 1/w-y, i.e., in terms of y?...
How did they solve the equations to arrive at \( x = \frac {3}{4} * (a+c)\)? Also, the equations are not tallying for the given values of a,b,c...
It is QP October 2014 Q2. VI not IV. Sorry for the inconvenience.
a) How the transition matrix is constructed? I did not get how they got \(\frac {\lambda}{\lambda + \mu} \) for transition from state 1 to state...
"Note, however that if F(M) > 0 , as will usually be the case, then Zi may take the value 0." I have a disconnection here. What does this...
In the alternative way, how did they obtain the value of 11/13? ...in the interval 10/12 to 1 11/12... 1 life is lost in 6 months. So,...
Thanks a lot.
I got it.
How do I find the number of lives censored? It is taken as: C0 = 0, C1 = 0, C2 = 1, C3 = 1, C4 = 2, C5 = 5.
Thank you very much for your detailed explanation, Sir. Now, I can see this differently and clearly than before. One thing is not clear for me....
1. How the limits for fs(s) are decided as 0 to s? [for s between 0 and 10] 2. Why are we considering 10<s<20 and how the limits are decided as...
Thank you.
In Chapter 2, Q 2.12: Why the covariance of (X(t), X(t+s)-X(t)) is 0?
In IAI 0506 Q.5, Why did they took one limit from a to infinity?
It follows chi - square 50 distribution.
Ok.
Ok. Got it.
Q10. part (i) a) Determine the probability function of S. How did they arrive at the conclusion that S takes the values 0,1,2,3,4? Also, how the...
In IFOA paper 19 April 2012, Q.1. The following 24 observations give the length of time (in hours, ordered) for which a specific fully charged...
In QP IFOA 7 October 2011, Q8. Part (ii), F(3; λ = 2.5) − F(1; λ = 2.5) is taken for calculating P[2 ≤10λˆ≤ 3]. Shouldn't it be F(3; λ = 2.5) −...
Ahhhh.... Yes, very much. Thank you.
In X1.3, how did they substitute dq/dp as -1/p^2? Also the last step. I am missing some simple logic. Can somebody help me here?
The demand curve for bananas is given by the equation p = 800−2q. At what point on the demand curve is the price elasticity of demand for bananas...
Ha! So, can I leave indifference curves and budget line topic because, I don't remember reading it in material? Also, should I study IS-LM model?...
I see questions in old IAI papers related to Budget line, Budget constraints and indifference curves. Are these included in syllabus?
For a perfectly competitive firm in short-run equilibrium, marginal cost is $8, average variable cost is $6, and average total cost is $7. Profit...
How did they find the marginal pmf of Y? Why did they took the limits as x=y to infinity? Shouldn't it be x=0 to infinity? And, I could not...
How did they arrive at F(15,15) at \(\alpha = 0.2\) level? I posted the answer and the question for your reference, below....
Thank you. Got it after a while, after posting.
How to find the firm's profit (9) after finding equilibrium price and quantity? I post the question and answer down, for your reference....
Type 13/2/2015 in C1, 13/3/2015 in C2 and so on... then drag on to some 100 cells. I am getting all the 13ths as input. In the next column D1,...
The question is as follows: An investor buys a property contract that gives rental income for 48 years. The value of property at the end of 48...
But, yes the interpolation gives the answer 0.00379 percentage.
I can see at 0.001 percentage 4.2649 for a standard normal distribution. I think they interpolated it for 4.003. After posting here, it stuck me.
How the p-value is computed as 0.013 per cent for t 98 distribution?
"The additional probability for the other tail can only increase the probability value." What does this exactly mean? How did they arrive at this...
Yes, got it. The question's first line was scrolled up. So, I missed no and n1 values before, which created confusion.
Thank You for your clarification @Muppet.
Part (ii) Alternatively, to get an initial approximation for (mu cap) we can equate the theoretical probability of no claims with observed...
Sir, is it necessary to show the interpolation and trial and error calculations while presenting the answers? Because some answers can be...
In Question bank, Part 3 Q 3.23, I got 2 doubts. 1. Why we are using annuity due for coupon calculation? 2. How 2.75 came in second part...
Okay. Got it.
I could not understand the derivations clearly from the material. Can someone suggest me whether is there any other way to understand the process...
Can someone explain the condition (ii) of Poisson process? P(N(t + h) = r | N(t) = r ) = 1- lambda h + o(h) P(N(t + h) = r + 1|N(t) = r ) =...
Thank You.
In the exam question, can someone clarify how the limits of the random variable Y is determined: It is given as "Since X can take values in...
Today I have received a mail about the October 2014 dates for CT exams starting from October 28, 2014. However, already I have downloaded a...
Hi I am preparing for November 2014 exams. I studied CT1. Still revisions, assignments and Questions model working are pending. I have August,...
I could not understand the solution for the question 9.7. Can somebody help me out? A loan of £80,000 is repayable by eight annual payments,...
Can someone help me to interpret this. If possible with examples. I am not getting the idea clearly here. "By definition, a series of p payments,...
