- June 23rd, 2011, 12:38 pm
- Forum: General Forum
- Topic: Actuarial Pricing vs Financial Mathematics Pricing
- Replies:
**57** - Views:
**26647**

<t>QuoteOriginally posted by: Edgey@VerdeI don't disagree with your post, but you haven't argued against my point (that the actuarial approach doesn't need independence). Insurance companies do use independence to reduce their costs, but independence is not a required assumption for pricing. Actuari...

- June 22nd, 2011, 12:42 pm
- Forum: General Forum
- Topic: Actuarial Pricing vs Financial Mathematics Pricing
- Replies:
**57** - Views:
**26647**

<t>QuoteOriginally posted by: EdgeyQuoteActuarial pricing only works if the insured events are independent. Independence makes the calculations easier, but dependence can be included into the actuarial approach. QuoteThere is only one S&P500 index, if it crashes 10% every person in the risk pool...

- June 21st, 2011, 7:18 am
- Forum: General Forum
- Topic: Actuarial Pricing vs Financial Mathematics Pricing
- Replies:
**57** - Views:
**26647**

<t>Actuarial pricing only works if the insured events are independent. If I face a 5% probability of death in the next year, an insurer who can pool a large number of lives facing the same probability of death can provide me with insurance worth 20 times my annual premium and break even. If I am inv...

- June 20th, 2011, 11:00 am
- Forum: General Forum
- Topic: Actuarial Pricing vs Financial Mathematics Pricing
- Replies:
**57** - Views:
**26647**

<r><URL url="http://www.soa.org/library/newsletters/risks-and-rewards/1999/march/rrn9903.pdfAn"><LINK_TEXT text="http://www.soa.org/library/newsletters/ ... 9903.pdfAn">http://www.soa.org/library/newsletters/risks-and-rewards/1999/march/rrn9903.pdfAn</LINK_TEXT></URL> Actuary Looks at Financial Insu...

- May 26th, 2011, 6:51 am
- Forum: General Forum
- Topic: Merton's portfolio problem - why dying rich?
- Replies:
**40** - Views:
**30490**

<r>Mike MooreWow, your insight into this problem is remarkable. I only had time to skim your solution. I do not have access to Mathematica, so I will have to try to redo your calculations in Excel and VBA to understand it fully. I am fully in agreement that an exponential probability of survival is ...

- May 24th, 2011, 2:43 pm
- Forum: General Forum
- Topic: Merton's portfolio problem - why dying rich?
- Replies:
**40** - Views:
**30490**

<r>Thanks for that Michael Moore.I will spend some time working through your solution.Are you aware of Milevsky's probability of retirement ruin formula.<URL url="http://www.ifid.ca/pdf_workingpapers/WP2004DEC29.pdfWould"><LINK_TEXT text="http://www.ifid.ca/pdf_workingpapers/WP ... 9.pdfWould">http:...

- March 31st, 2011, 2:06 pm
- Forum: Numerical Methods Forum
- Topic: Joint Life expectancy
- Replies:
**0** - Views:
**24200**

<t>I use the following excel formula based on the Gompertz law to calculate life expectancy for a single life:=LN(1-1/(EXP((Ap-Mp)/SDp)/LN(0.5)))*SDpWhere:Ap = Age principal life -Assume 65Mp = Mean principal ? Assume 82.1SDp = Standard deviation principal ? Assume 11.4The result is 16.1 yearsIf I a...

- December 19th, 2009, 6:54 pm
- Forum: General Forum
- Topic: Calculate implied strike price
- Replies:
**3** - Views:
**34474**

Fantastic, exactly what I needed.

- December 18th, 2009, 12:58 pm
- Forum: General Forum
- Topic: Calculate implied strike price
- Replies:
**3** - Views:
**34474**

<t>If the Call Price, Stock price, SD, Rf rate and Time to exp. for an option are known, is there a closed form solution to calculate the implied Strike price.If not, in using Newton's method to do the calculation is there a formula to calculte the first derivative of the call price with respect to ...

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