21.6 Past Exam Questions

TIA Exercise

  • \(\star\) TIA 1: Benefit of using a utility function

  • \(\star\) TIA 2: Reinsurance selection based on RORAC and EVA and reason for not doing allocation

  • \(\star\) TIA 3: Why might a non-marginal allocation lead to bad decision

  • TIA 4: TVaR and VaR calc on a simple distribution

  • TIA 5: Good properties for risk measure allocation

    • Does not ignore risk, if a risk is relevant to the BU, then is should be considered in the capital allocation for pricing

  • TIA 6: Calculate different VaR measure for a givne \(f(x)\)

  • \(\star\) TIA 7: blurred VaR and why it is useful

  • TIA 8: Factor model and it’s deficiency

  • TIA 9: UK stochastic model test

  • \(\star\) TIA 10: ALM application

  • TIA 11: Why not duration match, impact of changing interest rate under different accounting

  • \(\star\) TIA 12: All the reinsurance metrics

  • TIA 13: Efficient frontier

Past Exam

  • 2011 #16: allocation method and use of transformed probabilities

  • \(\star \star\) 2011 #17: reinsurance options based on capital cost saving

  • 2011 #19: Compare VaR and TVaR, calculate EPD

  • \(\star\) 2012 #13: Limitations of sample factor method and risk measures; how to reduce capital charge

  • \(\star\) 2012 #18: Pick the risk measures appropriate

  • 2012 #20: Reason for purchasing reinsurance and what form to purchase

  • \(\star \star\) 2014 #22: risk adjusted capital and allocation with proportional and marginal allocation by first principle

  • 2015 #24: Definition and limitation of VaR TVaR risk adjusted

  • \(\star\) 2015 #26: efficient frontier and reinsurance picking

  • 2016 #22: ALM for soft and hard market

  • \(\star\) 2016 #24: Risk measures for differet LoBs

21.6.1 Question Highlights

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