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Type: Posts; User: 777888; Keyword(s):

1. Thread: Linear Exponential Family & Inverse Exponeital Distribution

by 777888
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3,262 Linear Exponential Family & Inverse Exponeital Distribution

Suppose the model distribution X|Λ=λ is inverse exponential
f(x|λ) = λ exp(-λ/x) / x^2
and the prior distirbution for Λ is gamma with parameters α and θ.
(note: this belongs to the case of "exact...
2. Thread: Multiple Decrement Insurance: Find Var(Z)

by 777888
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0
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2,247 Multiple Decrement Insurance: Find Var(Z)

How can we find Var(Z)? I got completely lost...
Can someone please explain how to solve this problem?

I believe E(Z)=APV=300 * (0.8 *...
3. Thread: Calculate Discrete Joint-Life Insurance under DML......

by 777888
Replies
9
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4,484

If we instead assume both independent lives have...

If we instead assume both independent lives have "constant forces of mortaility", would we be able to calculate A_xy directly?
4. Thread: Calculate Discrete Joint-Life Insurance under DML......

by 777888
Replies
9
Views
4,484

So do you think the calculation of the APV for a...

So do you think the calculation of the APV for a DISCRETE joint-life status whole life insurance, A_xy, would be impossible to test on the exam?

How would a more reasonable problem requiring the...
5. Thread: Calculate Discrete Joint-Life Insurance under DML......

by 777888
Replies
9
Views
4,484

1) OK, I see. But in this case for discrete...

1) OK, I see. But in this case for discrete insurance, shouldn't the upper limit of the sum be 29 (since 30|qxy = 0)??

2) Let me summarize your assertion as follows:
If T(x)~uniform,...
6. Thread: Calculate Discrete Joint-Life Insurance under DML......

by 777888
Replies
9
Views
4,484

Hi and thanks for your reply. ...

1) So should the upper limit of the sum here be 29, 30, 34, or 35? How can we figure this out?? I seem to be...
7. Thread: Calculate Discrete Joint-Life Insurance under DML......

by 777888
Replies
9
Views
4,484 Calculate Discrete Joint-Life Insurance under DML......

Consider two independent lives (65) and (70).
You are given:
i=0.05
μ(65+t) = 1/(35-t)
μ(70+t) = 1/(30-t)
(so both lives are DML with ω=100).
Calculate A_65:70. (discrete joint-life status...
8. Thread: Find the no arbitrage "Bounds"

by 777888
Replies
5
Views
2,889

I've corrected the typo in the solution, the...

I've corrected the typo in the solution, the correct answer should be 2.218<P<3.551, I'm sorry.

And yes, this was exactly where I got confused before.
I think the key thing is to distinguish...
9. Thread: Find the no arbitrage "Bounds"

by 777888
Replies
5
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2,889 Find the no arbitrage "Bounds"

The stock of a company is trading at \$103. A 3-month call option with a strike price of \$90 is trading at \$17. You can BORROW money at interest rate 8% and can LEND money at 2%. The risk-free...
10. Thread: Recursion: u(x) = c(x) + d(x) u(x+1)

by 777888
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0
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1,896

Recursion: u(x) = c(x) + d(x) u(x+1)

You are given:
(i) u(x) = (i/δ) v q_x + v p_x u(x+1) for x=0,1,2,...
(ii) u(80)=0
(iii) Deaths are uniformly distributed within each year of age.
Express u(40) as an insurance of the appropriate...

by 777888
Replies
4
Views
2,918

But at the bottom we have the APV for an n-year...

But at the bottom we have the APV for an n-year temporary LIFE annuity, so I believe the premium will be paid for AT MOST n years contingent on survival.

by 777888
Replies
3
Views
2,486

In the normal table provided with the SOA exam,...

In the normal table provided with the SOA exam, we are actually explicitly asked to use the continuity correction when approximating a DISCRETE r.v. with normal distribution. In question 2 above,...

by 777888
Replies
4
Views
2,918 APV of premiums & Benefit premiums

1) For a special fully discrete whole life insurance of 1000 issued on the life of (75), increasing premiums, Q_k, are payable at time k, for k=0,1,2,... You are given:
(i) Q_k=Q_o * (1+i)^k
(ii)...

by 777888
Replies
3
Views
2,486 Percentile Premiums

1) When a question refers to "percentile premiums", it often will be saying things like "find the smallest annual premium P such that the insurer's probability of a positive financial loss is at most...
15. Thread: Asset-Liability matching with the least cost

by 777888
Replies
3
Views
1,460 1) "The company also has the option of a 6.0% one...

1) "The company also has the option of a 6.0% one year zero-coupon bond starting at time 1. In order to obtain this bond you would have to pay 3% of it's purchase price at time 0." <-------I don't...
16. Thread: Asset-Liability matching with the least cost

by 777888
Replies
3
Views
1,460

That is the whole question I got yesterday from...

That is the whole question I got yesterday from some internet site.
17. Thread: Asset-Liability matching with the least cost

by 777888
Replies
3
Views
1,460 Asset-Liability matching with the least cost

If a company has two liabilities (25,000 due at time 1 and 20,000 due at time 2), which of the following combination of bonds satisfies the liabilities and costs the least at time 0? What is the...
18. Thread: Covered Put and covered call

by 777888
Replies
7
Views
2,881

Is there any difference in 'I short an asset' and 'I sell a stock short' ???
19. Thread: Bond price b/w coupon dates (accrued coupon based on compound interest)

by 777888
Replies
1
Views
1,616

Under compound interest, why is the accrued...

Under compound interest, why is the accrued coupon not Fr/[(1+j)^(1-t)] ?? (i.e. shouldn't we simply be discounting the amount Fr from time 1 to time t using compound interest?)
20. Thread: I have a 2009 ASM manual

by 777888
Replies
5
Views
2,449

Thanks! Do you happen to know whether this...

Thanks!
Do you happen to know whether this topic is discussed in the other reference textbooks that were on the syllabus?
21. Thread: Bond price b/w coupon dates (accrued coupon based on compound interest)

by 777888
Replies
1
Views
1,616 Bond price b/w coupon dates (accrued coupon based on compound interest)

F=face amount/par value
r=coupon rate per coupon period
j=effective yield rate per coupon period

Market price = Purchase price - Accrued coupon = P_o (1+j)^t - t * Fr
where t=number of days...
22. Thread: I have a 2009 ASM manual

by 777888
Replies
5
Views
2,449

Under which section of the ASM manual does it...

Under which section of the ASM manual does it correspond to the Brovermans text Section 5.3.3? That section talks about the Yield on a fund where deposits and withdrawals are made continuously and...
23. Thread: TI-30XS Multiview calculator

by 777888
Replies
0
Views
1,526 TI-30XS Multiview calculator

For the TI-30XS Multiview calculator, is there any way to put commas in between a large number? i.e. 1,000,000 (as opposed to 1000000)?
I know this can be done with the BAII+, but can it be done...
24. Thread: Law of total probability

by 777888
Replies
4
Views
2,515

Yes. y+z = .375 x+z = .25 So x+y+2z=0.625...

Yes.

y+z = .375
x+z = .25

So x+y+2z=0.625
=>2z=0
=>z=0

So I think the answer is indeed 0.
25. Thread: Law of total probability

by 777888
Replies
4
Views
2,515 Law of total probability

An insurance company offers one of the following choices to each of their employees:
(i) Take exactly two insurances
(ii) Take no insurance but get a lump sum of money
The probability of having...
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