CM2 – Economic Modelling

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IFoA (Institute and Faculty of Actuaries) の学習者向けの無料CM2 – Economic Modelling学習ノート。各章のリンクから、要点・例題・練習問題への導線にアクセスできます。

Rational economic theory

  • Understand the principles of rational expectations theory

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  • Understand the principles of rational choice theory

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Measures of investment risk

  • Identify the properties of risk measures and use these risk measures to compare and analyse investment opportunities

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  • The role of insurance companies in reducing or removing risk

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Asset valuations

  • Understand mean-variance portfolio theory and its application

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  • Understand and use the Capital Asset Pricing Model (CAPM)

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  • Understand and use single and multifactor models for investment returns

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  • Appreciate different stochastic models for security prices and how and when they can be applied

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  • Understand the principles and characteristics of models of the term structures of interest rates and their application

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  • Understand the principles and application of simple models for credit risk

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Liability valuations

  • Understand the principles and application of ruin theory

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  • Understand and use run-off triangles to estimate claims

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  • Value basic benefit guarantees using simulation techniques

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Option theory

  • Understand the principles of option pricing and valuations

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  • Understand the principles of the binomial option-pricing model and its application

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  • Understand the principles of the Black-Scholes derivative-pricing model and its application

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