Lecture on 8th of March

Last lecture we stated and proved an important result concerning conditional expectations of integrals with respect to (stochastic) cash flows and w.r.t the jump measure associated with a Markov chain.

Next week, we will continue toward our goal of finding a recursive formula for computing the (prospective) reserve i.e Thiele difference/differential equation.

I have uploaded the slides from the presentation on Solvency 2 by Tijn Schulting from Ernst & Young <schultingtijn (/a ) hotmail.com>, he was very kind to provide, in addition, a spread sheet for the construction of Yield curves based on Eiopa's method of choice i.e the Smith-Wilson method. Please don't hesitate to send him questions regarding his presentation or other aspects that are relevant to what he is working with.

NB: Note the change of auditorium.