L527 PowerPoint PPT Presentations
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This course, given jointly with Mr Gareth Colgan, FIA. ... Boyd quoted in Spinney, F.C. (1997) Genghis John, Proceedings of the U. S. Naval ...
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Actuaries in Australian Universities (Macquarie, University of Melbourne) teach ... book on subject: Bellis, C., Shepherd, J. & Lyon, R. (2003), Understanding ...
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maintaining solvency. Pension Funds. the Stakeholder's stake. Sponsoring Employer ... maintaining solvency. Assess Impact on Shakeholders if ...
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The actuary needs to have sufficient background about the client to put the task ... as new professions' in 19th century attempt to achieve the same social cachet. ...
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Sommaire. Pr sentation des principales dispositions de la loi conomie sociale et solidaire et de la loi d Avenir pour l Agriculturee. Loi E.S.S / Loi A.A ...
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Government bonds (gilts), listed in country of origin. ... outside of the government's own country Yankee bonds, Bulldogs, Samurai bond. ...
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A bond is a negotiable loan raised by some body, with generally fixed interest ... outside of the government's own country Yankee bonds, Bulldogs, Samurai bond. ...
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Introduced 1981 in UK, now in many countries (US since 1997) ... A fair point made, but overdone. Theories of Shape of the Yield Curve ...
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Overview of perpective we wish to achieve before we treat each major capital ... estimating the yields [returns] ten years hence of a railway, a copper mine, a ...
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Poisson Process is a Markov jump process, i.e., Markovian with a discrete state ... Think of the Poisson Process as the stochastic generalisation of the ...
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The external environment is the milieu in which the stakeholders interests must ... workers borrow as outgo exceeds income e.g., mortgage, car loans, college fees. ...
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So meet effective demand. Level of benefit and contingencies on which paid. ... of severity is often on scale 1 to 5 with 1=minor loss; 5=unbearable loss ...
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e.g. in UK conventional gilt market, on conventional and IL (US) Treasuries. In most ... A fair point made, but overdone. Theories of Shape of the Yield Curve ...
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Value of convertible = value of equity shares to which it converts plus value of ... Value of Convertible = Value of loan stock plus option to buy shares at any ...
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... long-term fixed rate mortgages available to commercial property investors. ... (and occupier) sells the property to an institutional investor and leases it back. ...
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The Heart of the Matter. Good (financial) product design resolves the tension ... of severity is often on scale 1 to 5 with 1=minor loss; 5=unbearable loss ...
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Introduction to Models - Stochastic Models. Dr Shane Whelan, FFA ... Lemma : A process with independent increments has the Markov Property. Proof: On Board ...
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Quoted companies must comply with the regulations of the stock exchange as well as company law. ... Integrated Oil' is largest sub-category, e.g., BP,Shell, etc. ...
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... truly' random and then store them on machine (1 million long integers = 4 MB of ... Chi-Square Goodness-of-Fit Test. Kolmogorov-Smirnov Goodness-of-Fit Test ...
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To give flavour' of (institutional) investment in practice. ... estimating the yields [returns] ten years hence of a railway, a copper mine, a ...
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Leases tend to have periodic rent reviews once every 5 years is common and ... Prime office easily accessible by car and public transport, well-appointed, ...
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Insurance is a form of internal capital and some argue that ... Securitisation of insurance portfolios...Hanover Re. ART and the Actuary in the 21st Century ...
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Xt 1 Xt is simply known as an increment. Often defining how the process ... Key problem in classical risk theory is estimating the probability of ruin, ...
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Investment index one number to summarise how the market is performing. ... Weighted arithmetic index of top 300 stock or Topix (1,100 shares) ...
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Shift in supply or demand higher/lowers level of market (yield, ex ante return expectations) ... Fashion or sentiment change. Companies marketing/investor education ...
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The order of observations clearly matters it is crucial to the analysis. ... Degression on Linear Operators. B is a linear operator, i.e. ...
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This approximation method is known as the linked internal rate of return (LIRR) ... LIRR. Holding period return. Comparison of fund return with index or ...
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I give an Introduction to Stochastic Models in 12 lectures at 10 on ... Quotes from Real Life ... Cars and airplanes designed without wind-tunnels; the next ...
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Actuary's role is to assess/measure/evaluate/price or reserve for future ... Ascribe values (or specified distributions) to the parameters using past ...
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of successive triplets only depend on the final transition probability... r is the number of triplets where nijnjk 0. Markov Jump Process: Estimation ...
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(Tutotial shared with Models Survival Models) Comprising 3 lectures ... Quotes from Real Life ... Cars and airplanes designed without wind-tunnels; the next ...
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A future is an exchange tradeable contract between two parties to trade a ... American option. can be exercised at any time prior to expiry. ...
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long-term returns from different asset classes ... closed-ended vehicle, once the initial tranche of money has been invested, the ...
Recall a Markov chain is a discrete time Markov process with an at most ... Model #1: The No Claims Discount (NCD) system is where the motor insurance ...
Models based on Markov Chains ... It is a simple example of a Markov chain. ... If it rained in each of last two days then probability that it will rain today is 0.5 ...
Often prices quoted on a discounted basis, i.e., 91 day Treasury Bill quoted at ... where d is (annualised) discount rate. Note the 365 convention ...
The cynical view' sees profession's as self-interest groups, opportunistically ... A member has a duty to the profession and must not act in a manner which ...
Time-homogeneous Markov chains. is called the (n-m)-step transition probability ... For time homogeneous Markov chain, the transition probabilities can be estimated ...
