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Please state both your candidate number on your name on the front page of your written reponse.
For questions h)-l) use annual pension payment = 1 (one unit).
For questions b)-c) and h)-l) the portfoilo is rebalanced to maintain fixed portfolio weights over time.
There was an error in the assignment text: The recursion formula for the development of the asset value on page shall have an "Exp". This has now been corrected in the assignments that are published in the "Eksamensoppgave" folder.
The exam assignments have now (June 14th at 9.00 hrs) been published in the folder "Eksamensoppgave".
The exam assignment will be published in the folder "Eksamensoppgave" Tuesday June 14th at 9.00 hrs.
Monday 23 May we will also present an outline of the solution for Exercise 16, which is still outstanding.
No teaching Monday 16 May.
For Monday 23 May:
- Oppgave 18, published under undervisningsmateriale.
- Regulatory regime for risk based supervison of life insurers and pension funds in particular the Rapporteringsskjema og Veiledning specifications.
Classes conclude with the lessons Monday 23 May.
After having considered other options, we have concluded finally that the time schedule for the Exam will be as already announced in the message 28.04.2011.
For Monday 2 May: Exam 2010, a draft solution of which has now been filed under undervisningsmateriale.
New theory: Duration matching of assets to liabilities.
The Exam will consist of two parts:
- a written project assignment
- followed by a prepared half hour oral presentation of the student's written solution to the assignment
The written solution to the assignment and the oral presentation will be assessed as a whole, with great emphasis being put on the student's ability to explain, elaborate and substantiate his or hers written solution during the oral presentation.
The written assignment will be available Tuesday June 14th at 9.00 and it is to be handed in on Thursday June 16th at 14.00. The Oral exam will be held in week 25 (June 20-24), with specific times slots for each candidate to be announced later.
For Monday 11 April: Exercises 14, 15 and 16.
Project home assignment: Exam 2010, filed under "undervisningsmateriale". Although this is not an "oblig" to be submitted and accepted, you should work with it as if it was mandatory. We will present a suggested solution Monday 2 May.
Teaching material for Monday 28 March: Suggested solution for Exercise 9, filed under "undervisningsmateriale":
For Monday 28 March: Exercise 9 and exercise 8x. The latter has been filed separately under "undervisningsmateriale".
For Monday 21 March: The second part - replicating portfolio - of Exercise 12.
Teaching material for Monday 7 March, filed under undervisningsmateriale: Suggested solution for Exercise 7, "Pricing of mimimum interest guarantees ..." article and slide presentation.
Theory Monday 7 March: Pricing and hedging of interest rate guarantees.
For Monday 14 March: Exrecise 12.
No teaching Monday 28 February due to winter holiday.
For Monday 7 March: Exercise 7
Program for Monday February 14: We will focus on completing exercises 4, 5 and 6. Suggested solutions for exercise 6 has been filed in the Undervisningsmateriale folder.
An English version of the collection of exercises for the course - still preliminary and subject to revision/refinement - has now been filed as "Exercises preliminary v20110902.pdf" in the Undervisningsmateriale folder.
At the same time the pre-preliminary version filed as http://www.uio.no/studier/emner/matnat/math/STK4500/v11/Oppgaver.pdf has been removed.
Teaching material for Monday 7 February, filed under undervisningsmateriale: Suggested solutions for Oppgave 4 and Oppgave 5.
Theory Monday 7 February: Defined benefit pensions. No explicit litterature, and main contents covered by Oppgave 6.
For Monday 14 February: Oppgave 6.
We now have a preliminary English translation of the first exercises. There will be some minor linguistic adjustments, but the file should be fully readable in its current form. We hope to have a full translation of all the exercises ready next week. You will find the translation here:
http://www.uio.no/studier/emner/matnat/math/STK4500/v11/Oppgaver.pdf
At the first lecture, the course syllabus was presented to comprise 1) theory and applications as presented during the lectures 2) training exercises and 3) written notes/articles to be disseminated during the course.
I am not aware of any single textbook well suited for the course. However, one textbook that covers many of the topics of the course is: Harry Panjer et. al.: Financial Economics, with Applications to Investments, Insurance and Pensions. ISBN 0-938959-48-4.
The training exercises ("oppgaver") are in Norwegian, and as previously communicated we are optimistic to have them translated to English. Until this is in place, students who do not have Norwegian as their native tongue should obtain translation support from their fellow students
Teaching material for Monday 31 January, filed under undervisningsmateriale: Suggested solutions for Oppgave 2 and Oppgave 3.
Theory Monday 31 January: Stochastic volatility for financial market returns
For Monday 7 February: Oppgave 4 and Oppgave 5, filed under undervisningsmateriale
We are now optimistic to have the exercises translated to English. Until this is in place, students who do not have Norwegian as their native tongue should obtain translation support from their fellow students.