PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition : 8007

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Exam Code: 8007

Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

Updated: Aug 22, 2026

Q & A: 133 Questions and Answers

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PRMIA 8007 Exam Syllabus Topics:

SectionObjectives
Probability and Statistics Foundations- Statistical inference
  • 1. Confidence intervals and hypothesis testing
    • 2. Estimation theory
      - Random variables and probability distributions
      • 1. Discrete and continuous distributions
        • 2. Expectation, variance, and moments
          Simulation and Numerical Methods- Monte Carlo simulation
          • 1. Random number generation
            • 2. Risk distribution simulation
              Risk Measurement Techniques- Value at Risk (VaR)
              • 1. Historical simulation approach
                • 2. Parametric and non-parametric VaR
                  - Volatility and correlation
                  • 1. Variance-covariance methods
                    • 2. Correlation estimation techniques
                      Stochastic Processes and Time Series- Stochastic processes basics
                      • 1. Markov processes
                        • 2. Brownian motion (introductory level)
                          - Time series analysis
                          • 1. Autocorrelation and stationarity
                            • 2. AR, MA, and ARMA models

                              PRMIA Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Sample Questions:

                              1. What is the 40th term in the following series: 4, 14, 30, 52, ...?

                              A) 4598
                              B) 4840
                              C) 4960
                              D) 240


                              2. Find the roots, if they exist in the real numbers, of the quadratic equation

                              A) 1 and 0
                              B) 4 and -2
                              C) No real roots
                              D) -4 and 2


                              3. Consider two functions f(x) and g(x) with indefinite integrals F(x) and G(x), respectively. The indefinite integral of the product f(x)g(x) is given by

                              A) F(x)g(x) + f(x)G(x)
                              B) f(x)G(x) - F(x)g'(x)dx
                              C) F(x)G(x)
                              D) F(x)g(x) - F(x)g'(x)dx


                              4. What is a Hessian?

                              A) A matrix of second derivatives of a function
                              B) Correlation matrix of market indices
                              C) The vector of partial derivatives of a contingent claim
                              D) The point at which a minimum of a multidimensional function is achieved


                              5. You want to test the hypothesis that a population parameter of a regression model is zero. Your alternative hypothesis is that 0. Denote by SD() the estimated standard deviation of , and by MEAN() the estimated mean of . Which test statistic is appropriate, and what is its distribution?

                              A) test statistic = MEAN()/SD(), t distribution
                              B) test statistic = SD()/MEAN(), normal distribution
                              C) test statistic = MEAN()/SD(), normal distribution
                              D) test statistic = SD()/MEAN(), t distribution


                              Solutions:

                              Question # 1
                              Answer: B
                              Question # 2
                              Answer: C
                              Question # 3
                              Answer: D
                              Question # 4
                              Answer: A
                              Question # 5
                              Answer: A

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