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Copulas & EVT

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

  1. Sunit_K

    Sunit_K Keen member


    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!

  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.
    Sunit_K and Admin like this.
  3. Sunit_K

    Sunit_K Keen member

  4. N_Exam

    N_Exam Keen member

    Follow up question on formulas in the Copulas Chapter.

    Do we need to know (memorise) all the Copula Formulae, e.g. all Independent, all Implicit etc. and their generator functions?
  5. David Hopkins

    David Hopkins ActEd Tutor Staff Member

    Hi Sunit

    These are basically "new" topics. Although they have been in ST9 for a number of years, ST9 was mainly a "wordy" subject, so there aren't really any suitable mathematical actual past exam questions to practise on.

  6. David Hopkins

    David Hopkins ActEd Tutor Staff Member

    It should be enough just to know the basic ones. Even as a tutor, I don't know the precise formula for all the "named" ones, so they would have to give you the formulae for these or their generator functions in the exam.
  7. Lindsay Smitherman

    Lindsay Smitherman ActEd Tutor Staff Member

    Hi: as mentioned, these topics have been covered in SP9 (was ST9) since its introduction. Although the style of question in CS2 will likely differ considerably from the style used in ST9, there have been a few calculation question parts that might be of interest to give you a bit more practice. Specifically, see (parts of) the following ST9 questions:

    Copulas: A11 Q7, A13 Q5, S13 Q8, S18 Q2
    EVT: A14 Q4

    Might be of interest to someone anyway!

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