hw7 - UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Actuarial...

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UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Actuarial Science Program DEPARTMENT OF MATHEMATICS Math 476 / 567 P r o f . R i c k G o r v e t t Actuarial Risk Theory Fall, 2010 Homework Assignment # 7 (max. points = 10) Due at the beginning of class on Tuesday, December 7, 2010 You are encouraged to work on these problems in groups of no more than 3 or 4. However, each student must hand in her/his own answer sheet. Please show your work – enough to show that you understand how to do the problem – and circle your final answer. Full credit can only be given if the answer and approach are appropriate. Please provide answers to two decimal places. Note: When calculating a percentage, please provide answers either as a proportion to four decimal places (e.g., 0.xxxx), or as a percentage to two decimal places (e.g., xx.xx%). For Problems (1) to (3): Assume a Cox-Ingersoll-Ross (CIR) interest rate model with the following form: z r t r r Δ + Δ = Δ 08 . 0 ) 05 . 0 ( 25 . 0 where
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This note was uploaded on 03/11/2011 for the course MATH 476 taught by Professor Staff during the Winter '08 term at University of Illinois, Urbana Champaign.

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hw7 - UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Actuarial...

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