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  #1  
Old 11-12-2017, 06:30 PM
kts1230 kts1230 is offline
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Join Date: May 2016
Posts: 21
Default Task 1 - Mean/Variance Matching

Hi Everyone,

I started this module a year ago, got to the EOM exercise, and was very confused and decided to tackle the RET RPIRM exam instead.

Here I am a year later, with a few weeks til expiration, and I'm gonna krank out this MMR .

But a lot of this EOM exercise is still confusing me... Right off the bat, I've got a question with the easiest part of the exercise...

When calculating the mean and variance of the Lognormal and RSLN-2 models, should the mean and variance match exactly? Or just very close?

I'm getting a mean and var for the lognormal of 1.008366 and .002711.
And for the RSLN-2 I'm getting 1.008374 and .00265

Thanks
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  #2  
Old 11-13-2017, 08:46 PM
thegabesta thegabesta is offline
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Join Date: Mar 2013
Posts: 148
Default

Quote:
Originally Posted by kts1230 View Post

When calculating the mean and variance of the Lognormal and RSLN-2 models, should the mean and variance match exactly? Or just very close?

I'm getting a mean and var for the lognormal of 1.008366 and .002711.
And for the RSLN-2 I'm getting 1.008374 and .00265

Thanks
Hi,

When calculating the mean & variance for each model, you should do so on the log-returns, which are normally distributed. See post #386 in this thread for more details: http://www.actuarialoutpost.com/actu...ee#post5315745

I hope this helps!
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Modules: Regulation & Taxation | Enterprise Risk Management | Financial Economics
Exams: Life Pricing | Life Finance and Valuation | Life Risk Management
Other: DMAC

Last edited by thegabesta; 11-13-2017 at 08:47 PM.. Reason: Fixed reference to post
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Old 11-24-2017, 05:40 PM
ACHOOOary ACHOOOary is offline
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Join Date: Nov 2015
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Default

I was told that there's a certain exercise / case study which does a great job at pointing you what needs to be done for Task 1. Any know which are helpful per say. Thanks!
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  #4  
Old 11-27-2017, 06:31 PM
kts1230 kts1230 is offline
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Join Date: May 2016
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Default

Just wanted to say thanks for the help! Especially this link, that was what I needed!

http://www.actuarialoutpost.com/actu...ee#post5315745
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  #5  
Old 11-27-2017, 08:20 PM
thegabesta thegabesta is offline
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Quote:
Originally Posted by kts1230 View Post
Just wanted to say thanks for the help! Especially this link, that was what I needed!

http://www.actuarialoutpost.com/actu...ee#post5315745
Sure thing! Also, your link isn't working...
__________________
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FSA Requirements
Modules: Regulation & Taxation | Enterprise Risk Management | Financial Economics
Exams: Life Pricing | Life Finance and Valuation | Life Risk Management
Other: DMAC
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