Formula Page
Normal cdf: (x) :=
1 2 dx
x
e 2 x 2
.
Moments of Normals: If Z is a normal r.v. with mean 0 and variance 1, then the m.g.f. is
1 2
E[ea Z ] = e 2 a and the fourth moment is E[Z 4 ] = 3.
Itos Lemma: If Wt is a standard Brownian motion and X
UNIVERSITY OF TORONTO
Faculty of Arts and Science
Term Test, October 20th, 2009
ACT 460 / STA 2502
DURATION - 120 minutes
EXAMINER: Prof. S. Jaimungal
COURSE CODE (circle one):
ACT 460
STA 2502
LAST NAME:
FIRST NAME:
STUDENT #:
Each question is worth 10 p
ACT 460 / STA 2502 Stochastic Methods for Actuarial Science - Problem Set #3
due Tuesday, Dec 1 at 2pm. Hand in only questions marked with *. Grad students
also hand in questions marked with +
1. Consider each of the following options:
(a) digital call st
UNIVERSITY OF TORONTO
Faculty of Arts and Science
Term Test, October 19th, 2010
ACT 460 / STA 2502
DURATION - 120 minutes
EXAMINER: Prof. S. Jaimungal
COURSE CODE (circle one):
ACT 460
STA 2502
LAST NAME:
FIRST NAME:
STUDENT #:
Each question is worth 10 p
ACT 460 / STA 2502 Stochastic Methods for Actuarial Science
Problem Set #1 due Tuesday, Oct 6 at 2PM:
ACT460 - Hand in only questions marked with (*).
STA2502 - IN ADDITION, hand in questions marked with (!).
1. Construct each of the following payos using
UNIVERSITY OF TORONTO
Faculty of Arts and Science
Term Test, October 7th, 2008
ACT 460 / STA 2502
DURATION - 150 minutes
EXAMINER: Prof. S. Jaimungal
COURSE CODE (circle one):
ACT 460
STA 2502
LAST NAME:
FIRST NAME:
STUDENT #:
Each question is worth 10 po
Q1
Tuesday,October20,2009
10:53AM
Term test Page 1
Term test Page 2
Q2
Tuesday,October20,2009
2:14PM
Term test Page 3
Term test Page 4
Q3
Tuesday,October20,2009
2:18PM
Term test Page 5
Term test Page 6
Q4
Tuesday,October20,2009
2:30PM
Term test Page 7
Ter
Tuesday, November 04, 2008
10:33 AM
PS2 sol Page 1
PS2 sol Page 2
PS2 sol Page 3
PS2 sol Page 4
PS2 sol Page 5
PS2 sol Page 6
PS2 sol Page 7
PS2 sol Page 8
PS2 sol Page 9
Tuesday, December 09, 2008
2:26 PM
PS3 sol Page 1
PS3 sol Page 2
Tuesday, December 09, 2008
2:35 PM
PS3 sol Page 3
PS3 sol Page 4
Tuesday, December 09, 2008
2:48 PM
PS3 sol Page 5
PS3 sol Page 6
Monday, December 15, 2008
10:22 AM
PS3 sol Page 7
PS3 sol Pa
UNIVERSITY OF TORONTO
Faculty of Arts and Science
Final Examination
December 14, 2009
ACT460H1 F / STA2502H F
DURATION - 3 hours
EXAMINER: Prof. S. Jaimungal
LAST NAME:
FIRST NAME:
STUDENT #:
Each question is worth 10 points.
Please write clearly!
AIDS: C
Stochastic Methods for Actuarial Science - Problem Set #2
due Nov, 17 at 2pm.
Hand in only questions marked with *.
Grad students also hand in questions marked with +
1. Suppose that Wt and Zt are correlated Wiener processes with instantaneous correlation
UNIVERSITY OF TORONTO
Faculty of Arts and Science
Term Test, October 16th, 2012
ACT 460 / STA 2502
DURATION - 120 minutes
EXAMINER: Prof. S. J aimungal
COURSE CODE (circle one): ACT 460 c STA 2502
L
LAST NAME:
FIRST NAME: ______________________________
UNIVERSITY OF TORONTO Faculty of Arts and Science Final Examination, December 10th, 2008 ACT460H1 F / STA2502H F DURATION - 3 hours EXAMINER: Prof. S. Jaimungal COURSE CODE (circle one): ACT460H1 F STA2502H F
LAST NAME:
FIRST NAME:
STUDENT #: Each questio