ACTSC 445/845 Fall 2014
ASSIGNMENT 1 Solution
Question 1:
I have given a summary for the Walkerton case so that you can see what was expected in
terms of length, detail and coherence.
I have given a model of the risk categorization for all three cases.
(a
ACTSC 445/845 Fall 2015 ASSIGNMENT 1
Due: Thursday, October 8, at 1:00pm. There is a (physical) drop box in MC
across from MC 4065 to hand in hard copies of assignments. There is also a
(virtual) dropbox on the course website where you can submit soft cop
Assignment 1 (ACTSC/STAT 446/846, Fall 2012)
Due: (Tuesday) October 9, 2012, in class.
Instruction
To earn the full credit of the assignment, your answer must be well justied. Simply listing the nal
answer leads to zero credit. Only about half of question
ACTSC 445/845  Assignment 1 Solution
1. (a) The ytm, y is such that
983 =
6
X
30(1 + y/2)t + 1000(1 + y/2)6
t=1
Solving, y = 0.0663.
(b) There are 184 days over the next 6 months. Note that (1 + y/2)2 is the effective
annual yield on the bond. For the T
ACTSC 445/845
QERM
Week 10.1
Copulas (continued)
Actsc 445/845 Fall 2014 Week10
1
Actsc 445/845 Fall 2014 Week10
2
Actsc 445/845 Fall 2014 Week10
3
Actsc 445/845 Fall 2014 Week10
4
Actsc 445/845 Fall 2014 Week10
5
Tail Dependence
Tails are important in r
ACTSC 445/845
QERM
Week 10.2
Economic Scenario
Generators
Actsc 445/845 Fall 2014
1
2
Economic Scenario Generator
Models the value of several economic
series
For use in projecting asset and liability
cashflow values
Typically, variables include:
stock ret
ACTSC 445/845
QERM
Week 10.1
Copulas (continued)
Actsc 445/845 Fall 2014
1
Actsc 445/845 Fall 2014
2
Actsc 445/845 Fall 2014
3
Actsc 445/845 Fall 2014
4
Actsc 445/845 Fall 2014
5
Tail Dependence
Tails are important in risk management
Do things go wrong in
ACTSC 445/845
QERM
Week 2
Classifying Risks
Actsc 445/845 Fall 2014
1
Case 1: BP Deepwater Horizon
Deepwater Horizon
Explosion on drilling rig in the Gulf of Mexico
Killed 11, injured 16
Environmentally disastrous oil spill
Actsc 445/845 Fall 2014
2
Case
ACTSC 445/845
QERM
Week 10.2
Economic Scenario Generators
Actsc 445/845 Fall 2014 Week10
1
Economic Scenario Generator
Models the value of several economic series
For use in projecting asset and liability cashflow values
Typically, variables include:
ACTSC 445/845
QERM
Week 11.1
More On Models
Actsc 445/845 Fall 2014 Week11
1
The Wilkie Model
Cascade model
Annual frequency
Real World
Designed for long term projections
Stochastic simulation model
Actsc 445/845 Fall 2014 Week11
2
Other structural choice
ACTSC 445/845
QERM
Week 12
Credit Risk
Actsc 445/845 Fall 2014 Week11
1
Credit Risk
Credit risk is the risk that the value of a portfolio will change
due to unexpected changes in the credit quality of issuers or
trading partners.
Issuer risk: Risk from
ACTSC 445/845
QERM
Week 4
FrequencySeverity Analysis
Actsc 445/845 Fall 2014 Week 3
1
Introduction
Many risk management texts summarize quantitative risk as
Risk = Probability x Severity
Statistically, the level of risk can be calculated as the product
ACTSC 445/845
QERM
Week 4
FrequencySeverity
Analysis
Actsc 445/845 Fall 2014
1
Introduction
Many risk management texts summarize
quantitative risk as
Risk = Probability x Severity
Statistically, the level of risk can be calculated
as the product of the p
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ACTSC445/845 Assignment 3 Solution
Fall 2014
Data used:
Stock A: Bank of America Corporation (BAC)  NYSE (Banking and nancial services)
Stock B: MBIA Inc. (MBI)  NYSE (Financial guarantee insurance, xedincome asset
management, and other specialized n
20 marks
ACTSC 445/845  Assignment 2 Solution  Spring 2014
Question 1:
Denote:
At as the timet value of $1 invested in the riskfree account at time 0,
Si,t as the timet value of stock i for i = 1, . . . 8, and
Pi,t (Si,t ) as the timet value of t
Actsc 445: Midterm 1 (Version 1)  Spring 2014
Department of Statistics and Actuarial Science, University of Waterloo
June 17, 2014
Last name:
First name:
I.D.#:
Time Period:
11:30 am  12:35 pm
Notes:
Show all work.
Aid: Calculator (Financial or Scient
ACTSC 445/845  Assignment 2 Solution
Note:
445 students can work in teams of two. No team of three is allowed. A dropbox on Learn will be created
where you will be asked to provide your computer files (Excel spreadsheet, R/Matlab programs, etc.) for the
ACTSC 445/845  Assignment 1  Spring 2014
Due on Monday June 30 by 11:59pm
Note:
445 students can work in teams of two. No team of three is allowed. A dropbox on Learn will be created
where you will be asked to provide your computer files (Excel spreads
ACTSC 445/845  Assignment 2 Solution
Due on June 24, 2013 by the end of class
1. You are given three key rates of 1.5%, 3% and 4.5% (nominal annual rates, compounded
semiannually) for 6 months, 3 years and 5 years, respectively.
(a) Use linear interpola
45 marks total
ACTSC 445/845  Assignment 1 Solution  Spring 2014
Note:
445 students can work in teams of two. No team of three is allowed. A dropbox on Learn will be created where
you will be asked to provide your computer files (Excel spreadsheet, R/M
ACTSC 845 Fall 2014
Projects
General Instructions
1. You may work in groups of up to four people. All members of the group will receive the same grade.
2. The group should choose one of the projects described below.
3. The project report should be submitt
Educational Note
Reflection of Hedging
in Segregated Fund Valuation
Committee on Life Insurance Financial Reporting
May 2012
Document 212027
Ce document est disponible en franais
2012 Canadian Institute of Actuaries
Members should be familiar with educat
Part II: Competition in insurance markets
105
Part II: Competition in insurance markets
1
Underwriting cycles in German propertyliability
insurance 1
1.1
Introduction
Underwriting cycles, i.e., the cyclical patterns in insurance prices and profits, have
U.S. PropertyCasualty:
Underwriting Cycle Modeling
and Risk Benchmarks
by Shaun S. Wang, John A. Major, Hucheng (Charles) Pan, and Jessica W. K. Leong
AbSTRACT
The risk benchmarks and underwriting cycle models presented
here can be used by insurers in th
ACTSC 445/845 Fall 2014
ASSIGNMENT 3
DUE:
Hand in to
1. Download a data set of weekly returns from Yahoo.com for the period of 19872013
for one stock. (Find the historical prices tab, and download results to Excel). We
are interested in studying extreme
ACTSC 445/845 Fall 2014
ASSIGNMENT 4
DUE: 11:55 am Monday Dec 1st
Hand in to Saisai Zhang in the TA oce, or underneath Mary Hardys oce door for early
submissions.
This assignment is optional. If you hand it in, it will be graded, and will count towards yo