April 15 teaching

Lecture (one hour): The life table bootstrap (Section 2 in "Integrating Risk from different sources"). Exercises: 15.3.1,2, 15.6.4.6,8, 15.2.9

Published May 15, 2013 2:01 PM

Due to system trouble it has proced impossible to put out a new version of Exercises E6 and E7 as promised yesterday. We'll have to skip E7 on Tuesday 21, but E6 will be discussed. There is a misprint in the expression under d) in E6 where 1 should have been subtracted at the very right.

Published May 13, 2013 3:05 PM

May 21 will be the last day of teaching. We'll discuss Exercies E11 AND  E12 in addition to those left from May 14.

Some final comments on the pensum (which is now downloadable form the home page) will also be given.

The problems for the exam will be given in English, but the answers

may be written in Norwegian.

 

Published May 7, 2013 3:30 PM
We shall go through the Exercises E4-E10 after Exerfcises 12.6.1-4
Published Apr. 30, 2013 2:54 PM

Exercises 12.5.1-6 (download the disableprob.R file for help with the programming). Then Exercise E2-E5. New exam-like exercises will be put on the home page later this week

Published Apr. 25, 2013 1:00 PM

Sorry for the new format of the home page and in particular for the messages not longer being available at the front page (You MUST turn to the next page). This is due to unfortunate revisions carried out by UiO centrally.

Published Apr. 25, 2013 12:51 PM

We shall go through the course one more time by discussing a number of new exercises that will resemble in style those that will be presented at the final exam. We have been doing a lot of R programming throughout this spring  term. It's not so easy to allow this to enter a traditional school exam, but you will be asked to outline  informal programs where the syntax details do not count, and although such questions are not included in the Exercises E1-5 on April 30, they will be in later exercises in May.

Published Apr. 25, 2013 12:45 PM

Complete lecturing on general state dependent insurance. Exercises

E1-E5 which are now available

Published Apr. 16, 2013 12:27 PM

First: exercise 15.6.4,6,8 with theoretical support in Section 5 in integrating risk form many sources.  Then: Section 5 and 6 in "State dependent insurance".

Published Mar. 13, 2013 5:49 PM

April 9: Lecture on "Life Table Risk" in "Integrating risk from many sources" (45 minutes). Exercises (two times 45 minutes) on "duration" (Exercises 15.6.1,2 with "duration introduced on p. 24 in "Integrating risk from many sources"), "Vasicek bond prices (Exercises 15.3.1,2, read p. 8,9 for preparation) and finally asset/liability simulations (Exercises 15.6.4,6,8). Two new R-functions can be downloaded to help you solve the exercises.

Published Mar. 13, 2013 5:38 PM

Last part of the course: April 2 second goes out (lecturer abroad), we start again after Easter on April 9 (consult another message) and then each Tuesday up to May 14 with May 21 in reserve. We have at Easter concluded the asset part (lecturewise) and shall return to the liabilities once again with "Life Table Risk" (Section 2 in "Integrating risk from many sources") and Sections 5 and 6 in "State-dependent Insurance". Since the course has new clothing on, there will be a test exam in early May to indicate the kind of questions that awaits you at the real exam. There will also at the end be a summarizing lecture trying to tie the main lines together.

Published Mar. 12, 2013 5:12 PM

March 19: Senior analyst Urmila Kisoen, PriceWaterhouseCooper lectures on "assets and liabilities from an industrial point of view". Her talking points are available on the home page in English and the lecture itself will be given in English too. For people not familiar with the capm model that will be referred to during the talk a brief outline can be downloaded from the home page. Urmila will discuss Exercises 13.5.8-10 at the end of her presentation.

Published Mar. 5, 2013 4:54 PM

March 19: Urmilla Kisoen from PWC will lecture on "assets and liability managemant from an industrial point of view". Urmilla will make use of the capm model which is reviewed in a short note you can download.

Published Mar. 5, 2013 4:49 PM

March 12: Lectures on Monte Carlo programming for evaluating assets and liabilities, specifically programs for interest rate discounting (see section 2 in "integrating risk of different origin) and for asset risk (section 5). Some remarks on the capm model will be included. Exercises: 13.5.1,2,3,4,5,6,7,8,9.

Published Feb. 26, 2013 6:31 PM

March 3: Lectures on "Integrating risk of different origin", Section 1 and parts of Sections 5 and 6. Exercises: 13.4,5, 13.4.1-4, 13.4.9,10

Published Feb. 19, 2013 1:31 PM

February 26 deals with exercises only: Part I: 12.4.6-11 (on liabilities), Part II: 13.3.1-5 (on GARCH, data and software can be downloaded), Part III: 13.4.1-4. 13.4.9,10 (on linear dynamic modelling).

Published Feb. 12, 2013 1:15 PM

February 19: Complete the topic of linear driver processes and apply them to describe the Wilkie model of long-term financial economics. Exercises: 12.4.1-4, 12.4.6-11.

Published Feb. 5, 2013 3:19 PM

Exam on June 11: Ordinary, written exam that will last four hours.

Published Feb. 5, 2013 2:17 PM

February 12: Summarize Garch modelling and review linear time serries models. Exercises: 12.3.6-8, 12.4.1-6.

Published Jan. 29, 2013 1:43 PM

February 5: Lectures on Volatility and GARCH models from "Stochastic asset models". Exercises 12.3-1-8. R-software on the home page.

Published Jan. 22, 2013 6:13 PM

January 29: Lectures on "Single life arrangements". Execises: 12.2.5-8, 12.3.1-5. The files japusmale.txt and japusfem.txt can be downloaded from the home page.

Published Jan. 15, 2013 12:19 PM

January 15: Completed Section 2 of "Life and state-dependent insurance" January 22: Covers Section 3 and starts on Section 4 with the exercises: 12.2-1-8 (those not completed will be postponed to January 29).

Published Jan. 12, 2013 3:16 PM

Information on the course put out on the home page. The place of teaching has been changed to VB auditorium 4.

Published Jan. 11, 2013 4:30 PM

På grunn av stor pågang til emnet er undervisning flyttet fra B81 til aud 4 i VB. Se timeplanen. Tidene er ikke endret.