24.10 Past Exam Questions

TIA Exercise 3.1

  • TIA 1: Staffing issues for IRM

  • TIA 2: Getting buy in

  • TIA 3: Expert opinions for parameterization

  • TIA 4: Pilot test benefit

  • \(\star\) TIA 5: Actions vs best practice

  • TIA 6: Tasks enabled by internal model

TIA Exercise 3.2

  • TIA 7: Calculate mean and s.d. using formula (23.1)

  • TIA 8: inflation pick methods

  • TIA 9: inflation model with AR formula and properties

  • TIA 10: How to use a pool of parameter estimates

  • TIA 11: Correlate parameters with joint lognormal and information matrix

  • TIA 12: Mix distributions and parameters in simulation

TIA Exercise 3.3

  • \(\star \star\) TIA 13: Gumbel copula on 2 uniform distribution

  • \(\star \star\) TIA 14: HRT copula on 2 Exp and Unif

  • TIA 15: Picking copula based on discription

  • TIA 16: Product copula

  • \(\star \star\) TIA 17: plot RTC

  • \(\star\) TIA 18: RTC from formula (24.28)

  • TIA 19: Pick copula based on LoB description

  • \(\star\) TIA 20: Reading LR Graph and estimate \(\tau\) for the copula using \(R\)

  • TIA 21: Advantages of t-copula

  • \(\star\) TIA 22: Using the PP Copula

Past Exams:

  • \(\star\) 2011 #20: Kendall and Pearson calculation and explanation; picking copulas and why use them

  • \(\star\star\) 2012 #17: Explain, derive and graph RTC

  • 2014 #20: Describe tail dependencies and copula

  • 2015 #21: Benefits of copula and name a better copula than normal

  • \(\star\) 2016 #25: Pick copulas based on RTC, limitation of RTC

24.10.1 Question Highlights

n/a