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Questions tagged [actuarial-science]

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Normal default probability vs forward default probability/conditional default

is the diagram correct in calculating foward PD(conditional default) ? Or should the formula be Probability of default = probability of survival x forward PD Which of this is equal to marginal PD(...
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1answer
36 views

Risk-neutral pricing the “un”guaranteed benefits of an insurance policy

I'd love to know if the model of Black-Scholes-Merton could be used to anything that replicates the payoff of a call or option, for example: An insurance contract with participation ( meaning that ...
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53 views

Find a relationship between the present value and future value of an annuity [closed]

The following is a previous examination question in Financial Mathematics: If $A, r, n, PV$ and $FV$ represents the ordinary annuity (annuity immediate) amount, rate of interest, number of years, ...
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1answer
181 views

Projecting a Thiele differential equation with Black Scholes returns

I am trying to solve the equation $\frac{d}{dt}V(t)=r(t)V(t)+\pi-\mu(x+t)(b_d-V(t))$ numerically using the R function 'ode'. This is a Thiele differential equation for a life insurance reserve with ...
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295 views

What are the essential characteristics of asset prices?

I think the question has already been asked about stylized facts of asset returns; this question regards the essential characteristics and normative assumptions used to evaluate asset prices. I.e., ...