AS 2503/5106
Solutions, Chapter C
Fall 2016
C-5
Solution:
By the put-call parity:
500.00 + 18.64 = 66.59 + e0.061 K ,
and thus K = 480 .
C-6
Solution:
Answer: E. There are (at least) two ways to think of this:
Fixing the future purchase price of an asset
AS 2503/5106
Exercises, Chapter B
[B]
Fall 2016
Introduction to Forwards & Options (M, Ch. 2)
B-1
Farmer Tom planted 100 acres of corn. He is concerned that the corn price will go down by the
time he harvests. He makes an arrangement (contract) with Kello
AS 2503/5106
Solutions, Chapter B
Fall 2016
B-5
Solution:
I only. The purchaser has no choice in the transaction except to accept delivery of the
asset or make a financial settlement. (A forward contract is not an option.) The forward
price is determined
AS 2503/5106
Exercises, Chapter D
[D]
Fall 2016
Intro to Risk Management (M, Ch. 4)
D-1
A firm has a 70% chance of making a $800 profit, and a 30% change of suffering a $500 loss
next year. The appropriate effective annual discount rate is 6%.
(a) The fir
AS 2503/5106
Exercises, Chapter A
[A]
Fall 2016
Introduction to Derivatives (M, Ch. 1)
A-1
ABC stock has a bid price of $40.95 and an ask price of $41.05. Assumer the brokerage fee is
quoted as 0.3% of the bid or ask price.
(a) What amount will you pay to
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 Actuarial Modeling II
SPRING 2016
EXAM #2
DR. KRUPA S. VISWANATHAN
Please answer the questions in order, write neatly, and circle your final answers. Show all work.
1.
You are given a three-state model:
Sta
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #4
Due Friday, October 28, 2016
DR. KRUPA S. VISWANATHAN
Show all work.
1.
You are given the following double decrement table:
x
60
61
62
63
q (1)
x
0.013
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 Actuarial Modeling II
Spring 2016
EXAM #1
DR. KRUPA S. VISWANATHAN
Show all work. Answer the questions in order, write neatly, and circle your final answers.
1.
A fully discrete whole life insurance with
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #3
Due Wednesday, October 19, 2016
DR. KRUPA S. VISWANATHAN
Show all work.
1.
You are given a three-state model:
State 0: Healthy
State 1: Sick
State 2: De
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #1
Due Friday, September 16, 2016
DR. KRUPA S. VISWANATHAN
Show all work and circle your final answers.
1.
Heather (45) will be purchasing a fully continuo
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #2
Due Monday, September 26, 2016
DR. KRUPA S. VISWANATHAN
Show all work.
1.
A fully discrete 3-year term insurance with a benefit of 75,000 was sold to (4
AS 5105
Actuarial Economics
Exam 3
Professor Sfekas
You may use any written, audio, or video sources you want to complete this exam.
Cite all sources.
Work on your own, without consulting classmates or other humans.
Remember that the word counts are the m
AS 5105 Actuarial Economics, Fall 2012
Exam #1
Dr. Andrew Sfekas
Directions: This is an open-book take-home exam. You may not consult anyone else when
completing this exam, but you may use sources outside of those used in class. Be concise in
your respons
AS 5105 Actuarial Economics, Fall 2015
Exam #2
Dr. Andrew Sfekas
Directions: This is an open-book take-home exam. You may not consult anyone else when
completing this exam, but you may use sources outside of those used in class. As always, cite all
source
AS2101 Actuarial Probability & Statistics
Spring 2016
HW #2
Due Fri 2/12/2016
Multiple Choice: 3pts.
Long answer: 5pts.
Show all work, regardless.
1) The Cumulative Distribution Function of a random variable X is
() = 1 0.01 (1 +
),
0<
100
Determine x.
AS2101 Actuarial Probability & Statistics
Spring 2016
HW #1
Due Fri 2/5/2016
Multiple Choice: 3pts.
Long answer: 5pts.
Show all work, regardless.
1) The probability density function of a random variable Y is
() = (1 )4 ,
0 1
Calculate F(0.15).
A) 0.201
B
We let d represent an arbitrary policy and represent the set of all policies. Then
Xt random variable for the state of MDP at the beginning of period t (for
example, X2, X3, . . . , Xn)
X1 given state of the process at beginning of period 1 (initial state
Thus, if a $3 reward were earned each period, the total reward earned during an innite number of periods would be unbounded, but the average reward per period would equal $3.
In our discussion of innite horizon problems, we choose to resolve the problem o
VB 490.23. These values agree with those found via the policy iteration method. The
LINDO output also indicates that the rst, second, fourth, and seventh constraints have
no slack. Thus, the optimal policy is to replace a bad machine and not to replace an
not an optimal policy. In this case, modify d so that the decision in each state i is the decision attaining the minimum in (16) for Td (i). This yields a new stationary policy d for
which Vd(i) Vd (i) for i 1, 2, . . . N, and for at least one state i, Vd
SUMMARY
Key to Formulating Probabilistic Dynamic
Programming Problems (PDPs)
Suppose the possible states during period t 1 are s1, s2, . . . sn, and the probability that
the period t 1 state will be si is pi. Then the minimum expected cost incurred during
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