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

  • Exam Code: 8007
  • Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
  • Updated: Aug 15, 2026
  • Q & A: 133 Questions and Answers

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

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PRMIA 8007 Exam Syllabus Topics:

SectionWeightObjectives
Linear Algebra and Matrix Theory20%- Matrix operations
  • 1. Determinants and trace
    • 2. Addition, multiplication, inversion
      - Vectors and eigenvalues
      • 1. Eigenvalues and eigenvectors
        • 2. Diagonalization
          Probability Theory25%- Random variables and distributions
          • 1. Expected value, variance, covariance
            • 2. Discrete and continuous distributions
              - Basic probability concepts
              • 1. Axioms and rules
                • 2. Conditional probability and independence
                  Statistics and Regression Analysis20%- Linear regression
                  • 1. Simple and multiple regression
                    • 2. Hypothesis testing and confidence intervals
                      - Descriptive statistics
                      • 1. Correlation and covariance
                        • 2. Measures of location and dispersion
                          Numerical Methods & Financial Mathematics15%- Basics of risk modeling
                          - Root finding and approximation
                          - Time value of money
                          Calculus and Functions20%- Multivariable calculus
                          • 1. Partial derivatives
                            • 2. Optimization
                              - Single-variable calculus
                              • 1. Derivatives and applications
                                • 2. Integrals and applications
                                  • 3. Limits and continuity

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

                                    1. Let N(.) denote the cumulative distribution function and suppose that X and Y are standard normally distributed and uncorrelated. Using the fact that N(1.96)=0.975, the probability that X 0 and Y 1.96 is approximately

                                    A) 0.25%
                                    B) 0.49%
                                    C) 0.488%
                                    D) 0.495%


                                    2. You invest $2m in a bank savings account with a constant interest rate of 5% p.a. What is the value of the investment in 2 years time if interest is compounded quarterly?

                                    A) $2,210,342
                                    B) $2.205,000
                                    C) None of them
                                    D) $2,208,972


                                    3. An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101.
                                    Approximate the value of the option delta using a first order central finite difference.

                                    A) -0.5
                                    B) 0.25
                                    C) -0.25
                                    D) -4


                                    4. At what point x does the function f(x) = x3 - 4x2 + 1 have a local minimum?

                                    A) 2
                                    B) -0.666666667
                                    C) 2.66667
                                    D) 0


                                    5. Over four consecutive years fund X returns 1%, 5%, -3%, 8%. What is the average growth rate of fund X over this period?

                                    A) 2.49%
                                    B) 2.75%
                                    C) None of the above
                                    D) 2.67%


                                    Solutions:

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

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