Actuarial Outpost > MFE schroder's method and lease rates
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#1
10-20-2009, 11:49 PM
 apparition Member Join Date: May 2009 Posts: 1,041
schroder's method and lease rates

heard someone talk about them.. are these in the course? could not find them in ASM 6th edition..
#2
10-21-2009, 12:00 AM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 5,327

Schroeder's is not.
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#3
10-21-2009, 12:11 AM
 apparition Member Join Date: May 2009 Posts: 1,041

thanks!
#4
10-21-2009, 08:05 AM
 backpocket9ball Member SOA Join Date: Oct 2009 Location: Philadelphia, PA Studying for CSP-GH College: Penn State, Class of 2001 Favorite beer: Shiner Bock Posts: 219

Quote:
 Originally Posted by apparition heard someone talk about them.. are these in the course? could not find them in ASM 6th edition..
I could not find lease rates in ASM 6th ed. either. They are on the test, however, and are in McDonald.

It's related to the Claim on S^a material:

delta* = r - [a(r-delta)+.5a(a-1)sigma^2]

If a = 1, lease rate simplifies to r-delta.
#5
10-21-2009, 09:54 AM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 5,327

if a = 1, don't you just get delta from your equation?
__________________
Quote:
 Originally Posted by Buru Buru i'm not. i do not troll.
#6
10-21-2009, 12:52 PM
 backpocket9ball Member SOA Join Date: Oct 2009 Location: Philadelphia, PA Studying for CSP-GH College: Penn State, Class of 2001 Favorite beer: Shiner Bock Posts: 219

Quote:
 Originally Posted by Actuarialsuck if a = 1, don't you just get delta from your equation?
You're right, my mistake. The lease rate of an asset with a = 1, is the dividend yield.
#7
10-21-2009, 01:33 PM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 5,327

This is actually discussed in ASM I believe in Lesson 17. Abe goes through the cases for a = 0, 1, 2, -1 and 1/2.
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Quote:
 Originally Posted by Buru Buru i'm not. i do not troll.
#8
10-21-2009, 02:16 PM
 backpocket9ball Member SOA Join Date: Oct 2009 Location: Philadelphia, PA Studying for CSP-GH College: Penn State, Class of 2001 Favorite beer: Shiner Bock Posts: 219

Quote:
 Originally Posted by Actuarialsuck This is actually discussed in ASM I believe in Lesson 17. Abe goes through the cases for a = 0, 1, 2, -1 and 1/2.

I don't have the manual in front of me, but for some reason I don't ever remember seeing the delta* (lease rate equation) and I saw no mention of the term lease rate, whereas in McDonald, this is all exlplicitly mentioned.

It's based on the same concepts as are the formulas for F, F^P, and E[S^T] (which ASM mentions), but delta* is still a term that I don't remember mentioned.
#9
10-21-2009, 02:19 PM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 5,327

Quote:
 Originally Posted by backpocket9ball I don't have the manual in front of me, but for some reason I don't ever remember seeing the delta* (lease rate equation) and I saw no mention of the term lease rate, whereas in McDonald, this is all exlplicitly mentioned. It's based on the same concepts as are the formulas for F, F^P, and E[S^T] (which ASM mentions), but delta* is still a term that I don't remember mentioned.
I believe you are right, he doesn't use that term.
__________________
Quote:
 Originally Posted by Buru Buru i'm not. i do not troll.

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