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Actuarial Economics CT8

This class was created by Brainscape user Rayno Mostert. Visit their profile to learn more about the creator.

By: Rayno Mostert
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Decks in this class (18)

Chapter 1: Efficient Market Hypothesis
Efficient security market,
3 forms of market efficiency,
Strong form emh
11  cards
Chapter 2: Utility Theory
Expected utility theorem,
4 axioms of utility theorem,
Comparability
14  cards
Chapter 3: Stochastic dominance and behavioural finance
Absolute dominance,
1st order stochastic dominance eq...,
1st order stochastic dominance de...
24  cards
Chapter 4: Measures of investment Risk
Value at risk,
Formula value at risk,
Argument for using semi variance ...
20  cards
Chapter 5: Portfolio Theory
Modern portfolio theory,
Actuarial risk,
7 assumptions of mean variance po...
14  cards
Chapter 6: Models of asset returns
Macroeconomic multifactor model,
Fundamental multifactor model,
Statistical mutlifactor model
7  cards
Chapter 7: Asset Pricing Models
Assumptions of the capm,
4 results of capm,
Limitations of basic capm
14  cards
Chapter 8: Brownian motion and martingales
8 properties of brownian motion,
Martingale
2  cards
Chapter 9: Stochastic calculus and Ito processes
Alternative name for geometric br...,
Why might geometric brownian moti...
2  cards
Chapter 11: Valuation of Derivatives
Define an arbitrage opportunity,
Principle of no arbitrage,
Law of one price
22  cards
Chapter 12: The Greeks
Delta,
Gamma,
Theta
7  cards
Chapter 13: The Binomial Model
4 assumptions of the binomial model,
Q under the risk neutral probabil...,
State the condition under which t...
4  cards
Chapter 14: Black-Scholes Option Pricing Formula
6 assumptions underlying the blac...,
5 ways in which the black scholes...,
Explain why the prices actually q...
3  cards
Chapter 15: The 5-step Method in Discrete Time
Equivalent measures,
Summary of the 5 step method,
Previsibility
5  cards
Chapter 17: The term structure of interest rates
8 desirable characteristics of a ...,
General sde for r t,
Market price of risk expression
19  cards
Chapter 18: Credit risk
Credit event,
Recovery rate,
Structural models
15  cards
Syllabus Objectives
Explain the meaning of the term u...,
Expected utility theorem,
4 axioms of the expected utility ...
127  cards
Past Exam Questions
Arguments for using semi variance...,
Arguments against using semi vari...,
4 assumptions of mean variance po...
204  cards

More about
Actuarial Economics CT8

  • Class purpose General learning

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