Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
THE UNIVERSITY OF IOWA
22S.175 Exam 1 Monday February 22, 2010 6:30 8:30 PM
106 GLH
Write legibly. Show your steps. Explain your reasoning. Simplify your answers.
Each question is worth 10 points. Total = 100 points.
1. The riskfree interest rate is cons
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
Let X be a random variable for which the momentgenerating function exists. Let denote its
mean. For j = 2, 3, . , let
j = E[(X )j]
be the jth central moment of X (hence 2 is the variance). We can expand the function
ln(E[etX]), called the cumulant gener
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
5
NoArbitrage Pricing
Theory
5.1 INTRODUCTION
In this chapter, we study the fundamental concept of arbitrage and examine its
implications for the pricing of cash ow streams. Only the nite discretetime and
discretestate theory is considered. A more adva
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
The University of Iowa
College of Liberal Arts and Sciences
Department of Statistics and Actuarial Science
22S:175 (ACTS:4230) Actuarial Models
Spring Semester 2011
2:303:20 PM
MWF 70 VAN
Instructor: Dr. E.S.W. Shiu
Office: 362 Schaeffer Hall
Phone: 335
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
Dividend yield
On page 132 of McDonald (2006), it is assumed that stock dividends are paid
continuously at a rate proportional to the stock price. More precisely, for each share of the stock,
the amount of dividends paid between time t and t+dt is assume
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
THE UNIVERSITY OF IOWA
22S:175
H.W. Set #4
Write legibly.
Due at the beginning of class on Monday, February 14, 2011
Show your steps. Explain your reasoning.
Each question is worth 10 points
(1) Panjer (1998), Exercise 5.1.
Simplify your answers.
(Ignore
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
THE UNIVERSITY OF IOWA
22S:175
Write legibly.
H.W. Set #3 Due at the beginning of class on Monday, February 7, 2011
Show your steps. Explain your reasoning. Simplify your answers.
Each question is worth 10 points
1. Hogg, McKean & Craig (2005) Intro to Ma
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
THE UNIVERSITY OF IOWA
22S:175 HW Set 2
Due at the beginning of class on Monday, January 31, 2011
Write legibly. Show your steps. Explain your reasoning. Simplify your answers.
1. (An extension of #4 in HW Set 1) Let X be a random variable for which the m
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
Homework Set 1
Write legibly. Show your steps. Explain your reasoning. Simplify your answers.
Due: Beginning of class on Monday, January 24, 2011
1) Define
nMx
p
= n x
0
n qx
.
1
Calculate the matrix product nMx kMx+n. Your answer should be of the form ?
Statistics And Actuarial Science, Actuarial Models
22S 175

Spring 2011
Forward and Futures Prices
A forward contract on a security is an agreement to exchange the security at a
particular time in the future, known as the delivery date, at a price that is fixed at the
contract initiation date. The price that is fixed at the c