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@Bill SD I think this is a great idea. Just advertised it to my tutorial group from today. Hope you get a bite.

Hi Bill, I'm Anna, a different ActEd tutor, just giving Alvin a break from forum duties! Here are some answers: Q1) For me, there's a difference...

Thanks Vidhya - good luck to all in the forthcoming exam.

Hi @Actuary_07, exactly that, yes! You've got it :-)

2010 was indeed the first year of ST9.

At a very simple level, consider two items of interest X and Y. Upper tail dependency is where a high value of X is associated with a high value...

Hi Actuary_07 Good question. The Archimedean copulas have a Kendall's tau that is an exact function of the parameters. I'm pointing you to...

That's a good question and I emphasise with that, having also struggled myself! Here's a couple of suggestions: - Going through Lam's Lessons...

In case useful, here's my perspective as a tutor for SP9 and as someone who sat the exam April 2020, to add to the excellent advice from Jaanus...

Hi Darshan Your points look great to me. I've had a look in SP7/SP8 for you and here are my findings, which could make some useful additions to...

Apologies for being late to the debate here. I agree with David, I would get a colleague (who has done SP9) to look at your script vs the...

I'm due to attend my CERA seminar end April Yuli. In case it's useful, I'm planning to record the full length of the group sessions as CPD -...

Hi Darshan Your understanding is correct - but there's another factor at play, which is not obvious at first sight. If credit spreads narrow, eg...

Hi Darshan Yes, question subject matter is still relevant ... although you wouldn't be expected to draw graphs in the current 'online in Word'...

Hi Darshan I feel like I've learned something new today as well so thanks for the query! I hadn't realised that some mortgage backed securities...

In case useful, here are a few references that I sent to my tutorial group last week: Question on pandemics: ST9 October 2010 Q3 Questions on...

Hi Darshan (Worth also referring also to the post on April 2017 - CDOs). Attachment points determine the level of subordination that tranches...

I would say the workload for SP9 is similar to that for CP1, it is a big SP and requires a lot of dedication to get through the reading and an...

HI Darshan With VaR questions, I find it helpful to start by writing down the definition from Sweeting: VaR(97.5%) = inf {l: P(L>l) ≤ 0.025}...

Yes, you're absolutely right Markimedes, your exam will have been set Sep/Oct last year and then tweaked more recently to make sure it's suitable...

Hi Krishdear I think these are the proportions, x1 and x2, invested in each of the two funds (technology and growth). Let the portfolio return...

If you're looking for something broader, there is a great article on the impact of covid: demographic, social, economic, and how to model this, in...

That's a good shout out! ST9 Oct 2010 Q3

Not easy and I do empathise. I guess, where you sniff out some ambiguity, you may want to cover off multiple bases (but time consuming), or look...

Smashing, glad we get the same answer. I've now added to the Corrections doc and have just managed to sneak in the change for the 2021 version of...

Hi Jasmin - have you by any chance been on the ActEd tutorial for SP9? This question is in the Day 1 handout and there is a detailed solution....

Hi Alibaba Apologies for the delay in replying here. Having just worked through this, I am in agreement with you on both counts. That first...

Nice list Charlie!

Hello Alibaba I feel your pain, extremely hard to be that close on two consecutive sittings. Sadly, as Acted tutors, we are not privy to the...

Hi David - I've just sent you a message via the 'conversation' function.

David, leave this with us, we'll discuss here and see if we can get this improved. Anna

Hi Claire Yes, I think so - but happy to be corrected by others if I am wrong! I also struggled with that question initially and the below are...

Hi Kay I've had a good trawl through my files and have dug out an old ST9 acronyms list, which I've updated for SP9. Hope this is of some use...

Hi Dimitris, I think you can argue pros and cons of any subject. Go with your heart, your interests and what you enjoy! Anna

Hello I share your frustration that some ideas seem to have come out of the blue. On the positive side, I'm glad you've seen this as part of...

Hi Sandor, your approach is fine. If you look at CT8 Sep 2012 Q1 (which is where this question was examined), the Examiners Report says, after...

The examiners took the call option price to be the value of the equity Jia. Anna

Hello In short (no pun intended), the rationale is that there have been exam questions in the past involving portfolios of options. Most recent...

Yes, we are saying that ... if there is a recession in the next year ... then if bond A defaults, there is a high (conditional) probability of...

Yes, a log utility function implies a risk averse investor. Yes, I would assume positive levels of wealth, especially with a log utility function...

Hi Aisha How about this: U'(w) = dU(w)/dw Working in increments of wealth of 1, this gives: U'(w) = [U(w+1) - U(w)] / [w+1 - w] U'(w) = U(w+1)...

Thank you Calm :-)

Hi DMF I've had a go at the following - hoping this clears up the mystery? Let me know if not though. Anna

Hi Jia Some thoughts below: 1) Best thing to do with these questions on spot rates / forward rates / bond prices is to draw yourself a timeline...

Yes, it uses the formula at the bottom of Page 38 of the Tables.

Hi Jia It's because the exam question involves an effective interest rate, i, rather than a force of interest (= continuously compounded rate),...

Yes I agree.

Hello I'm not convinced by that formula for the instantaneous spot rate in the Core Reading, not sure the notation is entirely accurate. I think...

Hi again DMF, you are welcome! You should find that the requirement for ST > K or ST < K is linked to a call or put option respectively or...

Hi Andrew The examiners were happy to accept anything sensible that increased the probability of repaying the loan rather than maximising the...

Not any more Jia, it disappeared a couple of years ago. Please ignore this topic. Anna

Hi Jia The summary page for the chapter is a good start. In addition, I would make 100% sure that you can solve the Vasicek SDE. I would learn...

Hi Adithyan, as this is a PBOR question, I suggest posting it on the PBOR forum. Anna

Hello The difference is whether the payoff on the derivative is based on the full range of values of the share price at expiry (ie ST from 0 to...

Hi Jia I've now had a good look through this question. The BF method enables us to estimate the claims that have yet to emerge / be paid (called...

Hello The derivation of the Greeks from the BS option pricing formulae used to be a syllabus objective. It is no longer, so I would say it is...

Hi Jia The solution is calculated using the formula for the downside semi-variance (DSV) on the summary page of Chapter 4. For example, for the...

Hi Aaron Do you have access to the Paper B Online Resources for CM2? There's a document in there called "Introduction to Excel". Section 2 of...

Hi Alibaba! I agree with you, it is not immediately obvious. Based on previous questions that I've seen on bonds defaulting, it's often the...

Hi Jia, this is effectively a question on the Wilkie model, which was all removed from the syllabus a few years ago. Please ignore it. Anna

Good morning! In Q world (the risk-neutral world), investors expect to earn a return of r on all investments, no matter how risky. In order for...

smashing, thank you and good luck :-)

Hi Sandor Maybe I think of these things too simplistically ... but this is often a useful approach for the exam! Re the call option and the...

Hi Adithyan This is a confusing question, maybe it will help to go back to first principles with the BS option pricing formulae. For a call...

Hello The answer is that it depends on the context of the question. If the question asks you how geometric BM relates to standard BM then I...

Hello! You're right to say that these items are not on the CM2 syllabus. However, the adjustment coefficient and Lundberg's inequality are still...

Hi Jeremy Although state price deflators haven't been examined for a while, they are still very much on the syllabus and in the Core Reading....

Hi Johnson In both formulae, X and Y are random variables representing losses: - X is the loss faced by the individual seeking insurance - Y is...

Hi Jia Thanks for finding this typo - we'll get it added to our Corrections document. Anna

Hi Adithyan I agree with you on this one, I think it's a typo, should be: - the higher the insurer's retention limit - the higher the insurer's...

Hi Adithyan Good question. You could do interpolation. I think the issue with this question is that it requires you to be accurate to 2DP....

Hello Siddhi One way to get the new SDE is by using Ito's lemma. The question gives us an SDE that tells us how the share price changes over an...

You're welcome Jia :-)

Hello Alex! An example of a nested stochastic model for the mobile phone insurer in the question could be a 'frequency-severity' model: Model...

Hi Alex This is a good question, had to stare at it for a while before the penny finally dropped! The model for qx is a log-linear function of...

Hi Jia It's the equation for the expected return on the portfolio: Ep = (2/9 + 4c) x 0.09 + (2/9 + c) x 0.06 + (5/9 - 5c) x 0.03 Ep = 0.05 +...

Wilkie has gone, completely since 2019 and partially before that :-)

Useful feedback, thank you. Definitely worth completing a 'feedback on the exam' entry, especially in light of errors / time etc....

Also, we would love to know where you think the Paper B materials need improving. Merton model? However, thinking ActEd had similar resources...

Sounds like a good idea to submit a Subject Access Request to find out whether it was Paper A or Paper B. We believe the email address to do so is...

Hi Alex My brain is sore from thinking about this! As an example, let's take u = 0.05 u = F(x) = F(y) 0.05 = u = P(X < x) = P(Y < y) 0.95 =...

Thank you Ben, very useful to know about the Athens account. Jannus - to answer your question about Sweeting Versions 1 and 2. Version 2...

Hello Jia Yes, I get a -a' as well. The chain rule applied to differentiating a(T-t) gives (-1)a'(T-t). Looks like a typo to me in the...

You're welcome - sorry, couldn't get the formatting right for ages - kept putting a line through my maths! Think I've sorted it now though :-)

Hi Jia You are right that this chapter is fairly formulae heavy :-(. Hopefully by the time you've practised past questions though, many of the...

Hello Jia Most likely it will be due to rounding differences, eg how many decimal places were actually kept on the development factors in the...

Assuming you hold the share, you definitely benefit from the increase in the dividend (on your share)! Whether or not you benefit from the...

Hi Johann, yes, leptokurtic distributions typically have a fatter tailed / thinner peaked PDF than a normal distribution would have. This means...

Hi Adithyan We have certainly opened a can of worms here have we not? I agree with Mugono about what happens to the put option price when a...

A good question :) At a high level, CM2 is: - nearly all of CT8 - two chapters from CT6 - ruin theory and run off triangles - one chapter from...

Hello Johann Just had a quick look at Sweeting P157/158 and think the graph is OK. When gamma = 1 we have the Cauchy distribution, which is...

Hi Adithyan I think it is because the cash investment doesn't happen until time t1. At time 0, no money is set aside to meet this cash...

If dividends increase do you mean put option price increases Yes and hence one holds it during the tenure of rising dividends to reap the...

Hi Alex No amazing techniques other than repetition, repetition and repetition! When I was a student, many moons ago, I would stick the...

You're welcome :-)

Hi Adithyan, I've put some responses below for you. Hope the examples help with understanding. Anna Dividends and value of the put option...

Hi Adithyan Yes log(St/Ss) is the log return. Yes St and Ss are the share prices at times t and s. Assume s < t < u We have: X = log(St/Ss) is...

Hi Adithyan There is a statistical property that says: If X and Y are independent random variables, then real-valued functions, g(X) and h(Y)...

My mistake Adithyan - I've edited (corrected) it in the above post.