How did you find it?

How did everyone find the exam, i found it a bit of a mixed bag. 1-5 ok 6,7,8 bit iffy and the larger questions were do-able.

 

Could've been worse - going to be there or thereabouts I think.

Q1 - Credibility factors - Bit of head scratching at first, but I didn't really like any of the options. Option A was the best as Z increased with an decrease in sample variance. The others didn't include s at all.

Q2 - General form of run off triangle - Easy 5 marks

Q3 - Bayes' criterion - Another easy 6 marks

Q4 - Posterior distribution - doable, but I messed up solving the parameters of the beta distribution. I ended up with lamba being 3/25 I think. I completed the rest of the question using the values I'd calculated and am hoping for method marks here.

Q5 - Run off triangle - More easy marks

Q6 - ARCH model - Bit of a bummer, that. Didn't even have a scooby. I wrote down some mess about covariances but I don't suppose any examiner in the land will be impressed. 8 marks lost.

Q7 - Monte Carlo simulation - but not as we know it. Didn't know what to do at all, wrote some more mess down, calculated theta to be e - 1 anyway. I didn't have any idea how to link the uniform distribution to theta. Another 7 marks lost I suspect.

Q8 - Ruin theory - just used a binomial tree, easiest ruin theory question I ever saw! Don't see why I shouldn't get all 10 marks here.

Q9 - NCD - I messed up simultaneous equations again. Got pretty close but I'm too stupid to solve them when you give me p, 1-p rather than actual numbers. I got most of the way though, and for part (b) I used my assumed values so I should pick up those marks. Hoping for 7 out of 10 here.

Q10 - Time series - I wasn't strong on the topic. I had a guess at part (a) (ARMA (2,1) anyone?) with some vague reasons. The next parts I could work out the yule-walker equations easily enough, then I tried to substitute in the values from the sample - is this right? Actually I didn't finish the simultaneous eqns for the AR(2) model - didn't have time so I wrote down what my method would've been. Fingers crossed! Then I wrote down the tests that are in the formula book - portmanteau and the other one. I suggested doing a correllelogram too, just because why not?

Q11 - The Long One -
Part (a) - compared the moment generating function replacing lambda with lambda prime = lambda / k. Seemed to work pretty well.
Part (b) - I got somewhere pretty close to the likelihood function but I managed not to have n in the numerator. The method was there, likelihood, differentiate, solve to zero for lamba. Didn't differentiate again to check it was a maximum though! D'oh!!
Part (c) - stuck the figures into the equation, got lamba = 0.0005 I think.
Part (d) - Was this a separate part? Anyway I calculated the expected loss per claim to the insurer in 2006. integrate x(f)x from 0 to 1600 and then 1600 times the probability that x >1600. Came to about 1101 ish. Then ran out of time to calculate the new retention limit. Wrote down my method again though - solve the same equations replacing 1600 with M', setting the sum equal to 1101 ish.

All in all, I think I'll get a mark in mid to high 50s. I hope the rest of you found it an impossibly tough paper and they'll reduce the pass mark!

 

I was happy with the exam, it wasn't as bad as some of the past papers i'd seen!

All in all, I could've managed my time better. i think I spent too much time going over some tricky algebra (calculating alpha & lamda in the beta distribution, getting all those 1 - p + p^2 correct in Q9) and didn't finish the whole thing.

Q1 - Credibility factors - Option A was the best as Z -> 1 as N -> infinity. None of the others did that.

Q2 - General form of run off triangle - Easy 5 marks

Q3 - Bayes' criterion - Another easy 6 marks

Q4 - Posterior distribution - doable, but I spent way too much time calculating alpha and lambda of the beta distribution & didn't have enough time for some other questions.

Q5 - Run off triangle - BF method - thank goodness it wasn't BF + inflation. Pretty standard question.

Q6 - ARCH model - Ridiculously hard, boo.

Q7 - Monte Carlo simulation - no idea what was going on here

Q8 - Ruin theory - did half of this question

Q9 - NCD - I messed up simultaneous equations again. Pretty sure I got full marks (despite the algebra being a lot harder when you're just using p)

Q10 - Time series - wrote down Yule Walker equations, had a shot at it but nothing great.

Q11 - The Long One -
Part (a) - easy, I used the substitution y = kx.
Part (b) - Got the likelihood function & differentiated to check for maximum, yay.
Part (c) - stuck the figures into the equation,
Part (d) - did not finish, I did start it though.

 

CT6 Exam

In response to miss aussie's reply. I pretty much found exactly the same as you did! Does anyone know what the pass mark for the exam would be around? I think im going to be borderline, fingers crossed!!

 

I thought the paper was quite fair and much better than the last one I sat last Sept. There were a few non-standard questions, as always, that i'm hoping everyone struggled with like the ARCH question and the Monte Carlo one (what was all that about?!). I do feel a tad unlucky though - ARCH hasn't been tested before last Sept and has now appeared twice - on the 2 papers that I sat! I thought it was bound to not come up again so soon so hadn't looked at it, but to be honest, I doubt the notes would have helped as it was more of an application question.

I thought the marks were a bit too heavily weighted on the 2 big questions at the end though. The time series one wasn't too bad (assuming what I did was right!), but I found the last question pretty tough. Didn't quite manage to get the likelihood formula (I reckon if you did get it, you've got a good chance of passing), but carried on anyway with the rest of the question (although I couldn't really do it - I knew what should be done, just got myself in a mess under the time pressure).

Still, all in all it could have been worse! Just hope i've passed it this time as the thought of studying it again is not pleasant!