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Assignment 1 - Solution PDF

This document provides an assignment for a math actuarial theory course. The assignment includes several multi-part questions regarding survival functions, probabilities of death at various ages, and relationships between probabilities. It asks students to verify properties of a given survival function, calculate probabilities from the function, and prove and apply relationships between probabilities. The assignment will help students practice key concepts relating to survival analysis, life tables, and probability calculations for actuarial applications.

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conan1233
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84 views

Assignment 1 - Solution PDF

This document provides an assignment for a math actuarial theory course. The assignment includes several multi-part questions regarding survival functions, probabilities of death at various ages, and relationships between probabilities. It asks students to verify properties of a given survival function, calculate probabilities from the function, and prove and apply relationships between probabilities. The assignment will help students practice key concepts relating to survival analysis, life tables, and probability calculations for actuarial applications.

Uploaded by

conan1233
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Math 471 - Actuarial Theory I Section G1

Assignment 1
Assignment 1 is due on Wednesday, September 2, 3:00pm.
1. (7 marks) Given the survival function
(
1
100 x, 0 x 100,
S0 (x) = 10
0,
o.w.
(a) (2 marks) Verify that this survival function satisfies the criteria discussed in class.
Solution:
i. S0 (0) = 1, i.e., the probability that (0) will survive to age 0 is 1.
ii. S0 (100) = 0 and S0 (t) = 0 as t , i.e., no one will survive forever
1
iii. S00 (x) = 20
(100 x)1/2 0, for 0 x 100, is a non-increasing function of x,
i.e., the probability that (0) will survive to at least age x decreases as x increases.
(b) (1 mark) What is the implied limiting age ? Why?
Solution:
= 100,
since S0 (100) = 0 (and for any t < 100 S0 (t) > 0).
(c) (1 mark) Calculate the probability that (0) will die between ages 19 and 36.
Solution:
Pr(19 < T0 36) =

19|17 q0

= S0 (19) S0 (36) =

1
1
100 19
100 36 = 0.1.
10
10

(d) (1 mark) Calculate the probability that (20) will survive to at least age 50.
Solution:
S0 (50)
Pr(T2 0 > 30) = 30 p20 =
= 0.7906.
S0 (20)
(e) (2 marks) Explain the meaning of
Solution:
3|5 q20

3 p20

3|5 q20

and calculate its value.

8 p20 =

S0 (23) S0 (28)

= 0.0324,
S0 (20) S0 (20)

is the probability that (20) will die between ages 23 and 28.
2. (2 marks) Prove that
0| qx

+1| qx + +n1| qx =

n qx ,

and explain in words why it holds.


Solution:
0| qx

+1| qx + +n1| qx

=( 0 px 1 px ) + ( 1 px 2 px ) + + (
= 0 px

n px

=1

n px

n qx ,

n1 px

n px )

or
0| qx

+1| qx + +n1| qx

=( 1 qx 0 qx ) + ( 2 qx 1 qx ) + + ( n qx
= n qx 0 qx =

n1 qx )

n qx .

The i-th term of the LHS is the probability that (x) dies in year i (for i = 1, . . . , n), so
summing them up gives the probability that (x) dies in next n years which is RHS.
3. (6 marks) Given that px = 0.99, px+1 = 0.985, 3 px+1 = 0.95 and qx+3 = 0.02, calculate
(a) (1 mark) px+3 ,
Solution:
px+3 = 1 qx+3 = 0.98
(b) (1 mark) 2 px ,
Solution:
2 px

= px px+1 = 0.97515

(c) (1 mark) 2 px+1 ,


Solution:
2 px+1

3 px+1

px+3

= 0.96939

(d) (1 mark) 3 px ,
Solution:
3 px

= px 2 px+1 = 0.95969

(e) (1 mark) 1|2 qx ,


Solution:
1|2 qx

= px 3 px = 0.03031

(f) (1 mark) 2| qx .
Solution:
2| qx

2 px

3 px = 0.01546

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