Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA/CAS Preliminary Exams > Financial Mathematics
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

Actuarial Jobs by State

New York  New Jersey  Connecticut  Massachusetts 
California  Florida  Texas  Illinois  Colorado


Financial Mathematics Old FM Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #101  
Old 06-15-2007, 12:29 AM
krzysio's Avatar
krzysio krzysio is offline
Member
SOA AAA
 
Join Date: Mar 2005
Location: Bloomington, Illinois
Favorite beer: Tyskie
Posts: 1,321
Default Exercise for June 16, 2007

It is posted at
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise109.pdf
Yours sincerely,
Krzys' Ostaszewski
__________________
Want to know how to pass actuarial exams? Go to:
http://smartURL.it/pass
Reply With Quote
  #102  
Old 06-22-2007, 10:34 PM
krzysio's Avatar
krzysio krzysio is offline
Member
SOA AAA
 
Join Date: Mar 2005
Location: Bloomington, Illinois
Favorite beer: Tyskie
Posts: 1,321
Default Exercise for June 23, 2007

It is posted at
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise110.pdf
Yours sincerely,
Krzys' Ostaszewski
__________________
Want to know how to pass actuarial exams? Go to:
http://smartURL.it/pass
Reply With Quote
  #103  
Old 06-28-2007, 06:17 PM
arlbcd5612 arlbcd5612 is offline
 
Join Date: May 2007
Posts: 26
Default perpetuity DUE

Quote:
Originally Posted by krzysio View Post
It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise57.pdf

Yours,
Krzys' Ostaszewski
Because it is perpetuity DUE, the Macaulay duration of asset should be 1/d, then the result shoud be 13.5-14.5=-1. right?
Reply With Quote
  #104  
Old 06-28-2007, 09:35 PM
krzysio's Avatar
krzysio krzysio is offline
Member
SOA AAA
 
Join Date: Mar 2005
Location: Bloomington, Illinois
Favorite beer: Tyskie
Posts: 1,321
Default

Quote:
Originally Posted by arlbcd5612 View Post
Because it is perpetuity DUE, the Macaulay duration of asset should be 1/d, then the result shoud be 13.5-14.5=-1. right?
Of course not. The question asks for Macaulay duration of perpetuity due, not its price.

Yours,
Krzys'
__________________
Want to know how to pass actuarial exams? Go to:
http://smartURL.it/pass
Reply With Quote
  #105  
Old 06-30-2007, 02:07 AM
krzysio's Avatar
krzysio krzysio is offline
Member
SOA AAA
 
Join Date: Mar 2005
Location: Bloomington, Illinois
Favorite beer: Tyskie
Posts: 1,321
Default Exercise for June 30, 2007

It is posted at
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise111.pdf
Yours sincerely,
Krzys' Ostaszewski
__________________
Want to know how to pass actuarial exams? Go to:
http://smartURL.it/pass
Reply With Quote
  #106  
Old 07-02-2007, 06:20 PM
arlbcd5612 arlbcd5612 is offline
 
Join Date: May 2007
Posts: 26
Default thanks

Quote:
Originally Posted by krzysio View Post
Of course not. The question asks for Macaulay duration of perpetuity due, not its price.

Yours,
Krzys'
Thanks Prof. Krzysios. I understand now, Macaulay duration of perpetuity due is [(1+i)/i^2]/(1/d)=1/i
Reply With Quote
  #107  
Old 07-02-2007, 06:28 PM
arlbcd5612 arlbcd5612 is offline
 
Join Date: May 2007
Posts: 26
Default another question

Quote:
Originally Posted by krzysio View Post
Prof. Krzysios, why the modified duration is 6.079058246/1.06^2? I think it should be 6.079058246/1.06. Thanks.
Reply With Quote
  #108  
Old 07-02-2007, 09:16 PM
krzysio's Avatar
krzysio krzysio is offline
Member
SOA AAA
 
Join Date: Mar 2005
Location: Bloomington, Illinois
Favorite beer: Tyskie
Posts: 1,321
Default

Quote:
Originally Posted by arlbcd5612 View Post
Prof. Krzysios, why the modified duration is 6.079058246/1.06^2? I think it should be 6.079058246/1.06. Thanks.
You go from Macaulay duration to duration by dividing by 1 + i, where i is the effective annual interest rate. In this case, 6% is the semi-annual rate.

Yours,
Krzys'
__________________
Want to know how to pass actuarial exams? Go to:
http://smartURL.it/pass
Reply With Quote
  #109  
Old 07-02-2007, 09:19 PM
krzysio's Avatar
krzysio krzysio is offline
Member
SOA AAA
 
Join Date: Mar 2005
Location: Bloomington, Illinois
Favorite beer: Tyskie
Posts: 1,321
Default

Quote:
Originally Posted by arlbcd5612 View Post
Thanks Prof. Krzysios. I understand now, Macaulay duration of perpetuity due is [(1+i)/i^2]/(1/d)=1/i
Please do not call me "Krzysios". It's not very hard to see what my name is, it is in every message I post.

You really should simply know that the Macaulay duration of perpetuity due is 1/i. That's covered in my manual, and if you are using a source that does not clearly tell you that, think about using a source that does.

Yours,
Krzys'
__________________
Want to know how to pass actuarial exams? Go to:
http://smartURL.it/pass
Reply With Quote
  #110  
Old 07-02-2007, 10:22 PM
arlbcd5612 arlbcd5612 is offline
 
Join Date: May 2007
Posts: 26
Default Thanks

Quote:
Originally Posted by krzysio View Post
Please do not call me "Krzysios". It's not very hard to see what my name is, it is in every message I post.

You really should simply know that the Macaulay duration of perpetuity due is 1/i. That's covered in my manual, and if you are using a source that does not clearly tell you that, think about using a source that does.

Yours,
Krzys'
Sorry.

Thank you very much, Prof.Ostaszewski.
Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 11:26 AM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.18018 seconds with 9 queries