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 Short-Term Actuarial Math Old Exam C Forum

#71
05-05-2007, 09:27 PM
 soaDJ Join Date: Feb 2007 Posts: 11

can you get more than one quesetion on stock model and risk measure thank you!
#72
05-06-2007, 02:54 PM
 soaDJ Join Date: Feb 2007 Posts: 11

actex page SI-62
#4 last line.
i got 111.66 as the stock price...how did you come up with 136.53? or am i missing something ?
#73
05-06-2007, 03:21 PM
 sam_broverman Member Join Date: Feb 2005 Posts: 639

It looks like I was missing something. When I calculated
the stock price again I got the same 111.66 that you got.
Thanks for pointing that out.

Sam Broverman
2brove@rogers.com
#74
05-06-2007, 06:39 PM
 soaDJ Join Date: Feb 2007 Posts: 11

SI-51 #6 third line
E[S1|S1<80] = 110 (ln80-ln100-(ln1.1+1/2(.16))/.4*sqrt(2))
shouldn't the sqrt(2) be sqrt(1) since its stock price at t=1 not at t=2 ?

thanks
#75
05-07-2007, 12:20 PM
 sam_broverman Member Join Date: Feb 2005 Posts: 639

That should have been E[S2|S1<80] in the solution.

SB
#76
05-07-2007, 12:21 PM
 sam_broverman Member Join Date: Feb 2005 Posts: 639
May 7, 2007 Exam C Question

You can find the question at:
http://www.sambroverman.com/cqw/may7-07c.pdf

Sam Broverman
2brove@rogers.com
#77
05-07-2007, 03:50 PM
 sam_broverman Member Join Date: Feb 2005 Posts: 639

I think that my first response was too hasty. You are right
about E[S1 ... , The denominator should not have root 2.
This changes the rest of the numerical values. I think
the same error is in E[S1|S1>125] .

SB
#78
05-12-2007, 03:14 PM
 soaDJ Join Date: Feb 2007 Posts: 11

SB.
according to your updated errata on pg7 May12/07
4th line "For this model, lamda=1"
my question is why you still plug lamda=2 on the last line as the solution
exp(-2(.0513).... shouldn't it be exp(-1(.013)

Thank you
#79
05-12-2007, 03:43 PM
 MathForMarines Member CAS AAA Join Date: Jul 2006 Location: Normal College: Illinois State University Posts: 857

It should be (-1(0.0513) - 0.5*0.16)*2
since lambda = 1 and k = 0.0513
m=2 with lambda=1 jump per year and h=2 years
so the answer should be 123.73.

Also I am replacing the first uniform (0,1) value you are given in the problem (.61) by .62, since that is what the solution uses as the first uniform (0,1)value

Quote:
 Originally Posted by soaDJ SB. according to your updated errata on pg7 May12/07 4th line "For this model, lamda=1" my question is why you still plug lamda=2 on the last line as the solution exp(-2(.0513).... shouldn't it be exp(-1(.013) Thank you
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#80
05-12-2007, 07:03 PM
 sam_broverman Member Join Date: Feb 2005 Posts: 639

Thanks for the comments. I have posted (what I hope is)
a correct solution.

SB