SOA SRMStatistics for Risk Modeling

Associateship (ASA)

3.5 hours·35 multiple-choice·≈250 study hours

Score 0/0 · 8 MC

SRM · Q1
Written answer
Basics of statistical learning
Explain the bias–variance decomposition of expected test error and use it to compare (a) k-nearest neighbours with small vs large $k$ , and (b) lasso with small vs large $\lambda$ .
SRM · Q2
Multiple choice
Basics of statistical learning
Relative to 10-fold cross-validation, leave-one-out cross-validation (LOOCV) of the test error typically has: