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Eroboy
05-08-2008, 04:51 PM
It seems to me that the formula for H(t), unconditional Hedge is wrong. The formula is on page 6 of the formula sheet or page 148 (8.17) of Hardy's book.

The formulat shall be sum( P(t,w+1) * w|qx), where w from t to n-1 instead of sum(P(t,w)*w|qx) for the GMDB part.

For example, if n=1 and t=0, the GMDB part shall equal to p(0,1)*(qx) not p(0,0)*qx.

The Smokin' Cracktuary
05-08-2008, 05:21 PM
It seems to me that the formula for H(t), unconditional Hedge is wrong. The formula is on page 6 of the formula sheet or page 148 (8.17) of Hardy's book.

The formulat shall be sum( P(t,w+1) * w|qx), where w from t to n-1 instead of sum(P(t,w)*w|qx) for the GMDB part.

For example, if n=1 and t=0, the GMDB part shall equal to p(0,1)*(qx) not p(0,0)*qx.

2 words: Plausible deniability. By that I mean, if you use what they have, you can't be wrong.

Plus, they aren't going to ask a calc question on that.

hamstrman
05-08-2008, 05:32 PM
Plus, they aren't going to ask a calc question on that.

Famous last words...

Laurelinda
05-08-2008, 07:02 PM
2 words: Plausible deniability. By that I mean, if you use what they have, you can't be wrong.

I think my 2 words for this will have to be "blissful ignorance". Meaning I prefer to believe that formula doesn't exist. ;)