Copulas & EVT

Discussion in 'CS2' started by Sunit_K, Mar 27, 2019.

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  1. Sunit_K

    Sunit_K Keen member

    Hi,

    I tried to find questions based on these two topics (Copulas and EVT) but they don't appear in any of the past papers for CT4 or CT6.

    If anyone could tell me if these topics were included in the past syllabus and in which subject, that would be great.
    Also past papers regarding these topics.

    Secondly, the formulas in these topics aren't in the tables, so are we expected to memorize them?
    They don't 'look' nice!

    Thanks,
    Sunit
     
  2. Calm

    Calm Ton up Member

    Oh those two? They appear in scanty amounts within ST9 past papers. My Profs expect questions asking for the more gnarly aspects of these formulae to be given with the question e.g. that if you are asked to derive the Frank copula, that they give the Archimedean function including the value of alpha (or to solve in terms of alpha), but stuff like lower/upper tail dependence would likely not be given. Same for Extreme Value Theory, they may give the limiting GEV distributions, but you are supposed to know if it's Weibull/Gumbel/Frachet distribution and the different measures of tail weight.

    Also mortality projection isn't really covered in CT4, and machine learning isn't covered in the old Actuarial syllabus at all. Finally, don't forget about the R paper.
     
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  3. Sunit_K

    Sunit_K Keen member

    Thanks!
     

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