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#371
01-23-2020, 10:10 AM
 AbedNadir Member CAS SOA Join Date: Mar 2014 Studying for FCAS Posts: 2,773

Quote:
 Originally Posted by amp019372 TIA explicitly called out a few of the calculations in Goldfarb saying he got different numbers than the author and that he thinks the author was wrong by a bit. That was one of them.
interesting, thanks
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#372
01-23-2020, 04:23 PM
 trueblade Member CAS Join Date: Jul 2012 Location: Castlevania Studying for Freedom Posts: 1,189

Quote:
 Originally Posted by Unrealistic Ace I'll probably do it since I work in ERM.
Cool, I'm thinking about switching to non-pricing roles in the future and ERM seems pretty interesting to me so far. Interestingly my employer does provide study support for SP9, though there will be no exam raise associated with it.
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ACAS 7 8 9
#373
01-23-2020, 06:37 PM
 AbedNadir Member CAS SOA Join Date: Mar 2014 Studying for FCAS Posts: 2,773

in 6.1.1 of Goldfarb, what does the subscript on EPS mean? there's a 1 there
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#374
01-23-2020, 09:49 PM
 trueblade Member CAS Join Date: Jul 2012 Location: Castlevania Studying for Freedom Posts: 1,189

Quote:
 Originally Posted by AbedNadir in 6.1.1 of Goldfarb, what does the subscript on EPS mean? there's a 1 there
From Investopedia, EPS= (Net Income − Preferred Dividends)/End-of-Period Common Shares Outstanding, so it seems like EPS1 in Goldfarb's formula is the EPS at T1 while P0 is the price of the equity at T0.

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ACAS 7 8 9
#375
01-23-2020, 09:59 PM
 AbedNadir Member CAS SOA Join Date: Mar 2014 Studying for FCAS Posts: 2,773

Quote:
 Originally Posted by trueblade From Investopedia, EPS= (Net Income − Preferred Dividends)/End-of-Period Common Shares Outstanding, so it seems like EPS1 in Goldfarb's formula is the EPS at T1 while P0 is the price of the equity at T0. ​
thanks, looks good
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#376
01-24-2020, 08:24 PM
 AbedNadir Member CAS SOA Join Date: Mar 2014 Studying for FCAS Posts: 2,773

Patrik says he's going to describe a four step process, and only writes 3 steps. what's up with that
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#377
01-24-2020, 09:20 PM
 SkolChicago Member CAS Join Date: Apr 2015 Posts: 1,215

Quote:
 Originally Posted by AbedNadir Patrik says he's going to describe a four step process, and only writes 3 steps. what's up with that
It's reinsurance, he doesn't sweat the small stuff like math.
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ACAS 7 8 9
#378
01-25-2020, 01:43 PM
 trueblade Member CAS Join Date: Jul 2012 Location: Castlevania Studying for Freedom Posts: 1,189

Brehm pg. 119 The Frank Copula

Couple of questions here:

A) I get C(u,v) is a joint distribution function, but what is c(u,v)? Is this the joint pdf? It seems like in order to calculate X and Y all we need is C1(u,v) and we don't need c(u,v) at all. Not sure why the author leaves the c(u,v) formula there, maybe it's just for the sake of completeness

B) What role does this Kendall's tau thing play here?
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ACAS 7 8 9
#379
01-25-2020, 10:09 PM
 AbedNadir Member CAS SOA Join Date: Mar 2014 Studying for FCAS Posts: 2,773

Quote:
 Originally Posted by trueblade Brehm pg. 119 The Frank Copula Couple of questions here: A) I get C(u,v) is a joint distribution function, but what is c(u,v)? Is this the joint pdf? It seems like in order to calculate X and Y all we need is C1(u,v) and we don't need c(u,v) at all. Not sure why the author leaves the c(u,v) formula there, maybe it's just for the sake of completeness B) What role does this Kendall's tau thing play here?
a) what you said
b) tau is a measure of concordance, a given copula can have varying amounts of correlation in the tail. if you set tau or a then the other is fixed
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#380
01-26-2020, 02:36 PM
 trueblade Member CAS Join Date: Jul 2012 Location: Castlevania Studying for Freedom Posts: 1,189

Quote:
 Originally Posted by AbedNadir a) what you said b) tau is a measure of concordance, a given copula can have varying amounts of correlation in the tail. if you set tau or a then the other is fixed
Thanks!
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ACAS 7 8 9

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