

FlashChat  Actuarial Discussion  Preliminary Exams  CAS/SOA Exams  Cyberchat  Around the World  Suggestions 
Browse Open Actuarial Jobs 
ShortTerm Actuarial Math Old Exam C Forum 

Thread Tools  Search this Thread  Display Modes 
#71




can you get more than one quesetion on stock model and risk measure thank you!

#72




actex page SI62
#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




soaDJ,
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




SI51 #6 third line
E[S1S1<80] = 110 (ln80ln100(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




soaDJ,
That should have been E[S2S1<80] in the solution. SB 
#76




May 7, 2007 Exam C Question
You can find the question at:
http://www.sambroverman.com/cqw/may707c.pdf Sam Broverman 2brove@rogers.com 
#77




soaDJ,
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[S1S1>125] . SB 
#78




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




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
__________________
"U.S. (and Canadian) actuarial examinations form the most difficult system of professional examinations that exists in the known universe. The exams are not just hard because they are hard, but they are also hard because they are unreasonable  you can't see how your test was graded, model solutions posted are not model but soso, tests are often not published, and there is no clearly defined pass mark. Just '''' it up and do not waste time on complaining. If you are in the top 5% in mathematics skills in the U.S.... you will make it if you work hard.... But you will get the best job there is, bar none." Dr. Krzysztof Ostaszewski 
#80




Thanks for the comments. I have posted (what I hope is)
a correct solution. SB 
Thread Tools  Search this Thread 
Display Modes  

