F70LA Life Insurance Mathematics A Formulas

Survival Models 𝑑
= − 𝑑𝑡 log 𝑆𝑥 (𝑡) • 𝑒°𝑥 ≥ 𝑒𝑥
1
• 𝐹𝑥 (𝑡) = 𝑃(𝑇𝑥 ≤ 𝑡) Actuarial Notation • 𝑒°𝑥 ≈ 𝑒𝑥 + 2
= 𝑃(𝑇0 ≤ 𝑥 + 𝑡|𝑇0 > 𝑥) • 𝑡 𝑝𝑥 = 𝑆𝑥 (𝑡)
Life Tables
• 𝑆𝑥 (𝑡) = 1 − 𝐹𝑥 (𝑡) • 𝑡 𝑞𝑥 = 1 − 𝑡 𝑝𝑥
= 𝑃(𝑇𝑥 > 𝑡) • 𝑝𝑥 = 1 𝑝𝑥 • 𝑙𝑥 = 𝑙𝑥0 ∙ 𝑥−𝑥0 𝑝𝑥0
= 𝑃(𝑇0 > 𝑥 + 𝑡|𝑇0 > 𝑥) • 𝑞𝑥 = 1 𝑞𝑥 • 𝑑𝑥 = 𝑙𝑥 − 𝑙𝑥+1
•
𝑆 (𝑥+𝑡)
𝑆𝑥 (𝑡) = 0 • 𝑡|𝑢 𝑞𝑥 = 𝑡 𝑝𝑥 − 𝑡+𝑢 𝑝𝑥 •
𝑙𝑥+𝑡
𝑆0 (𝑥) 𝑡 𝑝𝑥 = 𝑙𝑥
= 𝑡 𝑝𝑥 𝑢 𝑞𝑥+𝑡
• 𝑆𝑥+𝑡 (𝑢) =
𝑆𝑥 (𝑡+𝑢)
• 𝑑𝑥 = 𝑙𝑥 ∙ 𝑞𝑥
𝑆𝑥 (𝑡) • 𝑡|1 𝑞𝑥 = 𝑡| 𝑞𝑥
• 𝑑𝑥 = 𝑙𝑥 − 𝑙𝑥+1
• 𝑆𝑥 (𝑡 + 𝑢) = 𝑆𝑥 (𝑢)𝑆𝑥+𝑢 (𝑡) • 0|𝑡 𝑞𝑥 = 𝑡 𝑞𝑥 𝑙𝑥 −𝑙𝑥+𝑡
= 𝑆𝑥 (𝑡)𝑆𝑥+𝑡 (𝑢) • 𝑡 𝑞𝑥 = 𝑙𝑥
• Identities and Results 𝑙𝑥+𝑛 −𝑙𝑥+𝑛+𝑚
Survival Function Condition: • 𝑛|𝑚 𝑞𝑥 = 𝑙𝑥
▪ 𝑆𝑥 (0) = 1 𝑡
• 𝑡 𝑞𝑥 = ∫0 𝑠 𝑝𝑥 𝜇𝑥+𝑠 𝑑𝑠 • lim 𝑙𝑥 = 0
▪ lim 𝑆𝑥 (𝑡) = 0 𝑢 𝑥→∞
𝑡→𝜔−𝑥
𝑑
• 𝑡|𝑢 𝑞𝑥 = ∫0 𝑠+𝑡 𝑝𝑥 𝜇𝑥+𝑡+𝑠 𝑑𝑠
▪ 𝑆 (𝑡) ≤0 Uniform Distribution of Deaths
𝑑𝑡 𝑥
Life Expectancy (UDD)
• 𝑃(𝑠 < 𝑇0 < 𝑡) = 𝑆0 (𝑠) − 𝑆0 (𝑡)
𝜔−𝑥
Force of Mortality • 𝐸[𝑇𝑋 ] = 𝑒°𝑥 = ∫0 𝑡 𝑝𝑥 𝑑𝑡 • UDD1: 𝑠 𝑞𝑥 = 𝑠 ∙ 𝑞𝑥
• 𝑉[𝑇𝑥 ] = 𝐸[𝑇𝑥 ] − 𝐸[𝑇𝑥 ]2
2 • UDD2: 𝑇𝑥 = 𝐾𝑥 + 𝑅𝑥
1
• 𝜇𝑥 = lim (ℎ 𝑃[0 < 𝑇𝑥 ≤ ℎ]) 𝜔−𝑥
= 2 ∫0 𝑡 𝑡 𝑝𝑥 𝑑𝑡 − 𝑒°2𝑥 •
𝑑
𝑞 = 𝑞𝑥
ℎ→0 𝑑𝑠 𝑠 𝑥
ℎ ∙ 𝜇𝑥 ≈ 𝑃[0 < 𝑇𝑥 ≤ ℎ] Curtate Future Lifetime • 𝑞𝑥 = 𝑠 𝑝𝑥 ∙ 𝜇𝑥+𝑠
1 𝑑
• 𝜇𝑥 = − 𝑆 (𝑥) 𝑑𝑥 𝑆0 (𝑥) • 𝑃[𝐾𝑥 = 𝑘] = 𝑃[𝑘 ≤ 𝑇𝑥 < 𝑘 + 1] • 𝑙𝑥+𝑠 = (1 − 𝑠)𝑙𝑥 + 𝑠 ∙ 𝑙𝑥+1
0
𝑑 = 𝑘| 𝑞𝑥 • 𝑙𝑥+𝑠 = 𝑙𝑥 − 𝑠 ∙ 𝑑𝑥
= − 𝑑𝑥 log 𝑆0 (𝑥)
= 𝑘|1 𝑞𝑥
𝑥+𝑡 Constant Force of Mortality
• 𝑆𝑥 (𝑡) = exp (− ∫𝑠=𝑥 𝜇𝑦 𝑑𝑦) • 𝐸[𝐾𝑥 ] = 𝑒𝑥
∗
𝑡
= exp (− ∫𝑠=0 𝜇𝑥+𝑠 𝑑𝑦) • 𝑡 𝑝𝑥 = 𝑠 𝑝𝑥 𝑡−𝑠 𝑝𝑥+𝑠 • 𝑝𝑥 = 𝑒 −𝜇𝑥 where 𝜇𝑥∗ = − log 𝑝𝑥
1 𝑑 • 𝑘 𝑝𝑥 = 𝑝𝑥 𝑝𝑥+1 𝑝𝑥+2 … 𝑝𝑥+𝑘−1 • 𝑡 𝑝𝑥 = (𝑝𝑥 )
𝑡
• 𝜇𝑥+𝑡 = − 𝑆 𝑆𝑥 (𝑡) • 𝑒𝑥 = ∑∞ • 𝑡
𝑥 (𝑡) 𝑑𝑡 𝑘=1 𝑘 𝑝𝑥 𝑡 𝑝𝑥+𝑦 = (𝑝𝑥 )
• 𝑒°𝑥 ≤ 𝑒°𝑥+1 + 1

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 F70LA Life Insurance Mathematics A Formulas

Select Survival Models • 𝑉𝑎𝑟[𝑍] = 2 𝐴𝑥 − 𝐴𝑥 2 • 𝑉𝑎𝑟[𝑍] = 𝑣 2𝑛 𝑛 𝑝𝑥 𝑛 𝑞𝑥

• 𝑡 𝑞[𝑥]+𝑠 = 1 − 𝑡 𝑝[𝑥]+𝑠
Recursion of 𝐴𝑥 : Endowment Insurance
• 𝑡|𝑢 𝑞[𝑥]+𝑠 = 𝑡 𝑝[𝑥]+𝑠 𝑢 𝑞[𝑥]+𝑠+𝑡
= 𝑡 𝑝[𝑥]+𝑠 − 𝑡+𝑢 𝑝[𝑥]+𝑠 • 𝐴𝑥 = 𝑣 𝑞𝑥 + 𝑣 𝑝𝑥 𝐴𝑥+1 • Payable Immediately on Death
𝑙𝑥+𝑟 𝑣 𝑇𝑥 if 𝑇𝑥 < 𝑛
• 𝑙[𝑥]+𝑠 = n-year Term Insurance • 𝑍={ 𝑛 = 𝑣 min(𝑇𝑥 ,𝑛)
𝑟−𝑠 𝑝[𝑥]+𝑠 𝑣 if 𝑇𝑥 ≥ 𝑛
𝑙[𝑥]+𝑡+𝑠
• 𝑡 𝑝[𝑥]+𝑠 = • Payable Immediately on Death • 𝐸[𝑍] = 𝐴̅𝑥:𝑛|̅̅̅
𝑙[𝑥]+𝑠
𝑣 𝑇𝑥 if 𝑇𝑥 ≤ 𝑛 • 1 1
𝐴̅ ̅̅̅ = 𝐴̅ ̅̅̅ + 𝐴 ̅̅̅
• 𝑍={ 𝑥:𝑛| 𝑥:𝑛| 𝑥:𝑛|
Insurance Benefits 0 if 𝑇𝑥 > 𝑛 𝑛 𝑡
𝑛 𝑡 = ∫0 𝑣 𝑡 𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡 + 𝑣 𝑛 𝑛 𝑝𝑥
• 1
𝐴̅𝑥:𝑛|
̅̅̅ = 𝐸[𝑍] = ∫0 𝑣 𝑡 𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡 2
Theory of Interest
2 • 𝑉𝑎𝑟[𝑍] = 2 𝐴̅𝑥:𝑛|
̅̅̅ − (𝐴̅𝑥:𝑛|
̅̅̅ )
• 𝑣 = (1 + 𝑖)−1 • 𝑉𝑎𝑟[𝑍] = 2 1
𝐴̅𝑥:𝑛|
̅̅̅ − (𝐴1̅𝑥:𝑛|
̅̅̅ )
• Payable at the End of Year of
• 𝛿 = ln(1 + 𝑖) • Payable at the End of Year of Death
1 Death
• 𝑖 (𝑝) = 𝑝 ((1 + 𝑝)𝑝 − 1) 𝑣 𝐾𝑥 +1 𝐾𝑥 < 𝑛
𝑣 𝐾𝑥 +1 𝐾𝑥 ≤ 𝑛 • 𝑍={ 𝑛
• 𝑍={ 𝑣 𝐾𝑥 ≥ 𝑛
0 𝐾𝑥 > 𝑛 min(𝐾𝑥 +1,𝑛)
Whole Life Insurance =𝑣
• 𝑃[𝑍 = 𝑣 𝑘+1 ]
= 𝑘| 𝑞𝑥
• 𝐸[𝑍] = 𝐴𝑥:𝑛|
̅̅̅
Payable Immediately on Death • 𝑃[𝑍 = 0] = 𝑛 𝑝𝑥
• 𝐴𝑥:𝑛| 1
̅̅̅ = 𝐴𝑥:𝑛|
̅̅̅ + 𝐴𝑥:𝑛|
1
̅̅̅
• 𝑇𝑥
𝑍 = 𝑣 where 𝑇𝑥 = 𝑡 𝑝𝑥 𝜇𝑥+𝑡 • 𝐸[𝑍] = ∑𝑛−1 𝑘=0 𝑣
𝑘+1
𝑘| 𝑞𝑥
𝑛−1 𝑘+1 = ∑𝑛−1𝑘=0 𝑣
𝑘+1 𝑛
𝑘 𝑝𝑥 𝑞𝑥+𝑘 + 𝑣 𝑛 𝑝𝑥
•
∞
𝐴̅𝑥 = 𝐸[𝑍] = ∫0 𝑣 𝑡 𝑡 𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡 = ∑𝑘=0 𝑣 𝑘 𝑝𝑥 𝑞𝑥+𝑘
= ∑𝑛−2𝑘=0 𝑣
𝑘+1 𝑛
𝑘 𝑝𝑥 𝑞𝑥+𝑘 + 𝑣 𝑛−1 𝑝𝑥
• 1
𝐴𝑥:𝑛|
̅̅̅ = 𝐸[𝑍]
• 𝑉𝑎𝑟[𝑍] = 2 𝐴̅𝑥 − (𝐴̅𝑥 )2 • 𝑉𝑎𝑟[𝑍] = 2 𝐴𝑥:𝑛|
̅̅̅ − (𝐴𝑥:𝑛|
̅̅̅ )
2
2
Payable at the End of Year of Death • 𝑉𝑎𝑟[𝑍] = 2 𝐴1𝑥:𝑛| 1
̅̅̅ − (𝐴𝑥:𝑛|
̅̅̅ )
Deferred Insurance Benefits
• 𝑍=𝑣 𝐾𝑥 +1 n-year Pure Endowment
• 𝐴̅𝑥 = 𝐴1̅𝑥:𝑚|
̅̅̅̅ + 𝑚| 𝐴̅𝑥
• 𝑃[𝑍 = 𝑣 𝐾𝑥 +1 ] = 𝑘| 𝑞𝑥 0 if 𝑇𝑥 < 𝑛
• 𝑍={ • 1
̅
𝑚| 𝐴 ̅̅̅ = 𝐸[𝑍] = 𝐴𝑥:𝑚|
1 1
̅̅̅̅ 𝐴̅
• 𝐸[𝑍] = ∑∞𝑘=0 𝑣
𝑘+1
𝑘| 𝑞𝑥 𝑣 𝑛 if 𝑇𝑥 ≥ 𝑛 𝑥:𝑛| ̅̅̅
𝑥+𝑚:𝑛|
0 if 𝑇𝑥 < 𝑚 or 𝑇𝑥 > 𝑚 + 𝑛
𝜔−𝑥−1 𝑘+1
= ∑𝑘=0 𝑣 𝑘| 𝑞𝑥 • 𝑃[𝑍 = 0] = 𝑛 𝑞𝑥 • 𝑍={
𝑣 𝑇𝑥 if 𝑚 ≤ 𝑇𝑥 ≤ 𝑚 + 𝑛
𝜔−𝑥−1 𝑘+1
= ∑𝑘=0 𝑣 𝑘 𝑝𝑥 𝑞𝑥+𝑘
• 𝑃[𝑍 = 𝑣 𝑛 ] = 𝑛 𝑝𝑥
• 𝐴̅𝑥 = ∑∞ ̅ ̅
𝑟=0 𝑟| 𝐴𝑥:1|
• 𝐴𝑥 = 𝐸[𝑍] • 𝐸[𝑍] = 𝐴𝑥:𝑛|1 𝑛
̅̅̅ = 𝑣 𝑛 𝑝𝑥

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 F70LA Life Insurance Mathematics A Formulas

• 1
̅ ̅̅̅
𝑚| 𝐴𝑥:𝑛| = 𝐴1𝑥:𝑚+𝑛| 1
̅̅̅̅̅̅̅̅ − 𝐴𝑥:𝑚|
̅̅̅̅ •
𝑖
𝐴̅𝑥 = 𝛿 𝐴𝑥 Endowment
𝑖 1 • (𝐼𝐴)𝑥:𝑛| 1
̅̅̅ = (𝐼𝐴)𝑥:𝑛|
𝑛
̅̅̅ + 𝑛 𝑣 𝑛 𝑝𝑥
m-thly Insurance Benefits • 𝐴̅𝑥:𝑛|
̅̅̅ ≈ 𝛿 𝐴𝑥:𝑛|
1
̅̅̅ + 𝐴𝑥:𝑛|
̅̅̅
(𝑚) 𝑖
•
(𝑚)
𝐾𝑥 =𝑚
1
[𝑚𝑇𝑥 ] • 𝐴𝑥 = 𝑖 (𝑚) 𝐴𝑥
• (𝑛 + 1)𝐴1𝑥:𝑛|
̅̅̅
Discrete: Variable Insurance Benefits
𝑛
= (𝐼𝐴)1𝑥:𝑛| 𝑛 1
̅̅̅ + ∑𝑘=1 𝐴𝑥:𝑘|
̅̅̅
(𝑚) 𝑘 • ̅ ̅)1 ̅̅̅ =
(𝐼 𝐴 𝑥:𝑛| ∫0 𝑡 𝑣 𝑡 𝑡 𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡
𝑃 [𝐾𝑥 = ]= 𝑘 𝑝𝑥 − 𝑘+1 𝑝𝑥 Annuities
𝑚 𝑚 𝑚 Whole Life Insurance
(𝑚) 1 Whole Life
𝐾𝑥 +
• 𝑃𝑉 = 𝑣 𝑚 • (𝐼 𝐴 ̅ ̅)1 ̅̅̅
̅ ̅)𝑥 = lim (𝐼 𝐴
𝑥:𝑛|
(𝑚)
𝑘+1 𝑛→∞ Annuities-Due (In Advance)
• 𝐴𝑥 = ∑∞
𝑘=0 𝑣 𝑚 𝑘 | 1 𝑞𝑥 • ̅ ̅)𝑥 = ∫∞ 𝑡 𝑣 𝑡 𝑡 𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡
(𝐼 𝐴 0
(𝑚)
𝑚𝑚
• 𝑌 = 𝑎̈ ̅̅̅̅̅̅̅̅̅
𝐾𝑥 +1|
• 𝐴𝑥:𝑛|
̅̅̅ : Endowment Endowment • 𝑃[𝑌 = 𝑎̈ ̅̅̅̅̅̅̅̅̅
𝐾𝑥 +1| ] = 𝑘| 𝑞𝑥
(𝑚) 1
• 𝐴 ̅̅̅ : Term Insurance
𝑥:𝑛| • ̅ ̅)1 ̅̅̅ + 𝑛𝐴 ̅̅̅
̅ ̅) ̅̅̅ = (𝐼 𝐴
(𝐼 𝐴 1 • 𝑎̈ 𝑥 = 𝐸[𝑌] = ∑∞ 𝑘=0 𝑎̈ ̅̅̅̅̅̅̅
𝑘+1| 𝑘| 𝑞𝑥
𝑥:𝑛| 𝑥:𝑛| 𝑥:𝑛|
(𝑚) 1 2 ∞ 𝑘
• 𝑉𝑎𝑟 [𝑣 𝐾𝑥 +
𝑚 ] = 2 𝐴𝑥
(𝑚) (𝑚)
− (𝐴𝑥 ) • (𝐼 𝐴̅ ̅) ̅̅̅ = ∑𝑘=0 𝑣 𝑘 𝑝𝑥
𝑥:𝑛|
𝑛 • 𝐸[𝑌] = 𝑎̈ 𝑥 = 𝐸[𝑎̈ ̅̅̅̅̅̅̅̅̅
𝐾𝑥 +1| ]
= ∫0 𝑡 𝑣 𝑡 𝑡 𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡 + 𝑛 𝑣 𝑛 𝑛 𝑝𝑥
Relation of ̅ 𝒙 , 𝑨(𝒎)
𝑨 𝒙 to 𝑨𝒙 1−𝑣 𝐾𝑥 +1 1−𝐴𝑥
= =
𝑑 𝑑
Clam Acceleration • (𝐼𝐴)1𝑥:𝑛|
̅̅̅ = ∑𝑛−1
0 (𝑘 + 1)𝑣
𝑘+1
𝑘| 𝑞𝑥 •
1
𝑉𝑎𝑟[𝑌] = 𝑑2 [ 𝐴𝑥 − (𝐴𝑥 )2 ]
2

1
Whole Life Insurance • 1 = 𝑑 ∙ 𝑎̈ 𝑛 + 𝑣 𝑛
• 𝐴1̅𝑥:𝑛| 1
̅̅̅ ≈ (1 + 𝑖)2 𝐴𝑥:𝑛|
̅̅̅
1 • 𝑎̈ 𝑥 = ∑∞
𝑘=0 𝐴𝑥:𝑘|
1
̅̅̅
• 𝐴̅𝑥 ≈ (1 + 𝑖)2 𝐴𝑥 • (𝐼𝐴)𝑥 = lim (𝐼𝐴)1𝑥:𝑛|
̅̅̅
𝑛→∞
1 Immediate Annuities (In Arrears)
• 𝐴̅𝑥:𝑛| 1
̅̅̅ ≈ (1 + 𝑖)2 𝐴𝑥:𝑛|
1
̅̅̅ + 𝐴𝑥:𝑛|
̅̅̅ • (𝐼𝐴)𝑥 = ∑∞
0 (𝑘 + 1)𝑣
𝑘+1
𝑘| 𝑞𝑥

(𝑚)
(𝑚−1) • 𝑌 = 𝑎̅̅̅̅̅
𝐾𝑥 |
• 𝐴𝑥 ≈ (1 + 𝑖) 2𝑚 𝐴𝑥
• (𝐼𝐴̅)1𝑥:𝑛| 𝑛−1
̅̅̅ = ∑𝑘=0(𝑘 + 1)
1
̅ ̅
𝑘| 𝐴𝑥:1| • 𝑎𝑥 = 𝑎̈ 𝑥 − 1
•
1
UDD 𝑉𝑎𝑟[𝑎̅̅̅̅̅
𝐾𝑥 | ] = 𝑉𝑎𝑟[𝑎̈ ̅̅̅̅̅̅̅̅̅
𝐾𝑥 +1| ]
(CA) ≈ (1 + 𝑖)2 (𝐼𝐴)1𝑥:𝑛|
̅̅̅
2 𝐴 −(𝐴 )2
𝑖 1 𝑖 𝑥 𝑥
• 𝐴1̅𝑥:𝑛|
̅̅̅ = 𝛿 𝐴𝑥:𝑛|
̅̅̅ (UDD) ≈ (𝐼𝐴)1𝑥:𝑛|
̅̅̅
= 𝑑2
𝛿

3
 F70LA Life Insurance Mathematics A Formulas

• 𝑎 𝑥 = ∑∞ 𝑘
𝑘=1 𝑣 𝑘 𝑝𝑥 • 𝑉𝑎𝑟[𝑎̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅
min(𝐾𝑥 ,𝑛)| ]
𝐾
1−𝑣 𝑥
(𝑚) 1
+ ,
𝑚
2 • 𝑌 = 𝑎̈ ̅̅̅̅̅̅̅̅̅̅̅̅̅
(𝑚) 1 =
𝑑 (𝑚)
2𝐴 𝐾𝑥 + |
Continuous Annuities ̅̅̅̅̅̅̅ −(𝐴𝑥:𝑛+1|
𝑥:𝑛+1| ̅̅̅̅̅̅̅ ) 𝑚
= 1 𝑘
𝑑2
• 𝐸[𝑌] = 𝑚 ∑∞
𝑘=0 𝑣 𝑚 𝑘 𝑝𝑥
• 𝑌 = 𝑎̅ ̅̅̅̅
𝑇𝑥 | 𝑚
Continuous (𝑚)
1−𝑣 𝑇𝑥 1−𝐴𝑥
• 𝑎̅ ̅̅̅̅
𝑇𝑥 | = = 𝑑 (𝑚)
𝛿
• 𝑎̅𝑥:𝑛|
̅̅̅ = 𝐸[𝑎
̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅
min(𝑇𝑥 ,𝑛)| ]
1−𝑣 𝑇𝑥
• 𝑎̅𝑥 = 𝐸[𝑎̅ ̅̅̅̅
𝑇𝑥 | ] = 𝐸 [ ] 1−𝑣 min(𝑇𝑥 ,𝑛) Temporary Life Annuities (𝒎𝒕𝒉 ly)
𝛿 = 𝐸[ ]
1−𝐴̅𝑥 𝛿
= (𝑚) (𝑚) (𝑚)
𝛿 1−𝐴̅𝑥:𝑛|
̅̅̅ • 𝑎̈ 𝑥:𝑛|
̅̅̅ = 𝑎̈ 𝑥
1
− 𝐴𝑥:𝑛|
̅̅̅ 𝑎̈ 𝑥+𝑛
∞ =
• 𝑎̅𝑥 = ∫0 𝑣 𝑡 𝑡 𝑝𝑥 𝑑𝑡 𝛿 (𝑚) (𝑚) 1
• 𝑉𝑎𝑟[𝑎̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅ • 𝑎𝑥 = 𝑎̈ 𝑥 −𝑚
1 min(𝑇𝑥 ,𝑛)| ]
• 𝐸[𝑌] = 𝑎̅𝑥 = 𝛿 (1 − 𝐴̅𝑥 ) (𝑚) (𝑚) 1 1
1
2 𝐴̅
̅̅̅̅̅̅̅ −(𝐴̅𝑥:𝑛+1|
𝑥:𝑛+1| ̅̅̅̅̅̅̅ )
2
• 𝑎𝑥:𝑛|
̅̅̅ = 𝑎̈ 𝑥:𝑛|
1
̅̅̅ − 𝑚 + 𝑚 𝐴𝑥:𝑛|
̅̅̅
• 𝑉𝑎𝑟[𝑌] = 𝛿2 [ 2 𝐴̅𝑥 − (𝐴̅𝑥 )2 ] = 𝛿2
UDD
𝒏-year Temporary Annuity Deferred Whole Life Annuities
(𝑚)
• 𝑎̈ 𝑥 = 𝛼(𝑚)𝑎̈ 𝑥 − 𝛽(𝑚)
In Advance In Advance 𝑖𝑑
• 𝛼(𝑚) =
𝑖 (𝑚) 𝑑(𝑚)
• 𝑎̈ 𝑥:𝑛|
̅̅̅ = 𝐸[𝑎̈ ̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅
min(𝐾𝑥 +1,𝑛)| ] • 𝑛| 𝑎̈ 𝑥
1
= 𝐴𝑥:𝑛|
̅̅̅ 𝑎̈ 𝑥+𝑛 𝑖−𝑖 (𝑚)
• 𝛽(𝑚) = 𝑖 (𝑚)𝑑(𝑚)
𝑛−1 𝑘
= ∑𝑘=0 𝑣 𝑘 𝑝𝑥 • 𝑛| 𝑎̈ 𝑥 = 𝑎̈ 𝑥 − 𝑎̈ 𝑥:𝑛|
̅̅̅
(𝑚) 1
= 1 + 𝑣 𝑝𝑥 𝑎̈ 𝑥+1:𝑛−1| ̅̅̅̅̅̅̅
• 𝑎𝑥 = 𝛼(𝑚)𝑎̈ 𝑥 − 𝛽(𝑚) − 𝑚
Increasing Whole Life Annuities-Due (𝑚)
= 1 + 𝑎𝑥:𝑛−1|̅̅̅̅̅̅̅ • 𝑎̈ 𝑥:𝑛|
̅̅̅
𝑎̈ 𝑛| 𝑛
2 ̅̅̅ −𝑛𝑣 1
2𝐴
̅̅̅ −(𝐴𝑥:𝑛|
̅̅̅ ) • 𝑌 = (𝐼𝑎̈ )̅̅̅̅̅̅̅̅̅
𝐾𝑥 +1| (𝐼𝑎̈ )̅̅̅
𝑛| = = 𝛼(𝑚)𝑎̈ 𝑥:𝑛|
̅̅̅ − 𝛽(𝑚)(1 − 𝐴𝑥:𝑛|
̅̅̅ )
•
𝑥:𝑛|
𝑉𝑎𝑟[𝑎̈ ̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅
min(𝐾𝑥 +1,𝑛)| ] = 2
𝑑
𝑑 𝑎̈ ̅̅̅̅̅̅̅̅̅̅ 𝐾𝑥 +1
𝐾 +1| −(𝐾𝑥 +1)𝑣
𝑥
= Woolhouse’s Formula
In Arrears 𝑑
• (𝐼𝑎̈ )𝑥 = 𝐸[(𝐼𝑎̈ )̅̅̅̅̅̅̅̅̅
𝐾𝑥 +1| ] •
( )
𝑎̈ 𝑥𝑚 ≈ 𝑎̈ 𝑥 −
𝑚−1
• 𝑛 𝑘
̅̅̅ = ∑𝑘=0 𝑣 𝑘 𝑝𝑥
𝑎𝑥:𝑛| 𝑎̈ 𝑥 −(𝐼𝐴)𝑥 2𝑚
= (𝑚) 𝑚+1
= 𝑎̈ 𝑥:𝑛|
̅̅̅ − 1 +
1
𝐴𝑥:𝑛|
̅̅̅
𝑑 • 𝑎𝑥 = 𝑎̈ 𝑥 −
𝑎̈ 𝑥:𝑛| 2𝑚
̅̅̅ −(𝐼𝐴)𝑥:𝑛|
̅̅̅
= 𝐸[𝑎̈ ̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅ • (𝐼𝑎̈ )𝑥:𝑛|
̅̅̅ = •
(𝑚) 𝑚−1 1
min(𝐾𝑥 +1,𝑛+1)| − 1] 𝑑 𝑎̈ 𝑥:𝑛|
̅̅̅ = 𝑎̈ 𝑥:𝑛|
̅̅̅ − 2𝑚
(1 − 𝐴𝑥:𝑛|
̅̅̅ )
= 𝑎̈ 𝑥:𝑛+1|
̅̅̅̅̅̅̅ − 1 1 1
𝒎𝒕𝒉 ly Whole Life Annuities • 𝑎̅𝑥 ≈ 𝑎̈ 𝑥 − 2 = 𝑎𝑥 + 2