Professional Documents
Culture Documents
Math Review
X
n=0
1
r =
1r
(r < 1)
n ax
n!
x e
m
X
n=0
dx =
an+1
ax
xe
Zu
tn eat dt =
n=0
1
dx = 2
a
and
X
xn
1 rm+1
r =
1r
n
2 ax
x e
n!
= ex
Z
2
dx = 3
a
(n) =
xn1 ex dx
(n + 1)
[1 p0 pn ] where the pk come from a Poisson dist. of = au
an+1
2.1
Basic definitions
fT (x) = t px x (t)
x (t) =
f (x)
d
= ln s(x)
s(x)
dx
t px
Rt
= e
x (s) ds
s(x + t)
s(x)
n mx
f (t) dt
R xx+n
sx (t) dt
x
Lx `x
a(x) =
dx
Rn
o Rt px x (t) dt
n mx =
n
0 t px dt
ex:n =
n mx
n dx
n Lx
avg. # deaths
avg. # alive
Zn
n Lx
n Lx
`x
`x+t dt
0
2.2
n| Ax = n Ex Ax+n
a
x = a
x:n + n| a
x
ax:n = a
x:n 1 + n Ex
x
n| a
= n Ex a
x+n
ax = a
x 1
Converting between discrete & continuous ins. and mth -ly annuities:
iAx = Ax
1
iAx:n = Ax:n
1
iAx:n
= Ax:n Ax:n1
a
(m)
= (m)
ax (m)
x
(m)
a
x:n = (m)
ax:n (m)[1 n Ex ]
(m)
n| a
x
= (m) n| a
x (m)n Ex
2.3
Future Lifetimes
E [min(T (x), n)] = 1st moment
Zn
ex:n = t t px x+t dt
E min(T (x), n)2 = 2nd moment
Zn
ex:n =
Zn
t px dt
Complete:
ex:n =
n
X
0
k px
Curtate:
k=0
2.4
n
X
(2k 1)k px
k=1
Fractional Lifetimes
Constant:
Uniform:
Hyperbolic:
2.5
2t t px dt
s px+t
(1 s)
s
+
`x
`x+1
s qx+t
s qx+t
= psx
sqx
=
1 tqx
=
x+s = x
qx
1 sqx
qx
=
1 (1 s)qx
x+s =
sqx
1 [1 (s + t)] qx
x+s
Variance Formulas
Var[ T ] = 2Ax A2x
Var[
ax ] =
2A
x
A2x
2
Var[
ax:n ] =
2A
x:n
A2x:n
2
2
P
(2Ax A2x )
(2Ax A2x )
2
Var[0 L] =
Ax ) b +
Var[0 L] =
=
(
ax )2
(1 Ax )2
2
P
Var[t L|T t] = (2Ax+t A2x+t ) b +
(Use above when eq. pr. gives P )
Z
Var[Txy ] = 2 t t pxy
e2xy
Cov[Txy , Txy ] = (
ex
exy )(
ey
exy )
(2Ax
Var[S] = tE[X ]
E[S] = tE[X]
(Compound Poisson)
Recursion Relations
3.1
Future Lifetimes
ex =
ex:n + n px
ex+n
ex = ex + 0.5
ex:n = px + px ex+1:n1
3.2
Insurances
Ax = qx + px Ax+1
Ax:n = qx + px Ax+1:n1
3.3
3.4
1
1
1
(IA)x:n
= Ax:n
+ px (IA)x+1:n1
1
1
Ax:n
= qx + px Ax+1:n1
1
1
1
(DA)x:n
= nAx:1
+ px (DA)x+1:n1
n| Ax
1
1
1
(DA)x:n
= Ax:n
+ (DA)x:n1
= px n1 Ax+1
Annuities
a
x = px a
x+1 + 1
a
x:n = px a
x+1:n1 + 1
ax = px ax+1 + px
ax:n = px ax+1:n1 + px
a
x = px a
x+1 + a
x:1
a
x:n = px a
x+1:n1 + a
x:1
x
n| a
= px n1| a
x+1
a
x:n = px a
x+1:n1 + qx a
n1 + 1
n| ax
= px n1| ax+1
x
n| a
= px n1| a
x+1
a
x:n = px a
x+1:n1 + qx a
n1 + a
1
Reserves
Asset Share:
t AS
(w)
(w)
1 qx+t1 qx+t1
4
4.1
Useful Formulas
Accumulated Value of Annuities
sx:n = Ex+n sx:n+1
1
n Ex
sx:n n Ex = a
x:n
sx:n P x:n1 = 1
= sx+1:n1 + 1
1
= sx:n + 1
n Ex
= sx+1:n1 +
4.2
1
n1 Ex+1
1
P x:n
= P x:n1 Ax+n
1
Px P x:n
= P x:n1 nVx
1
1
P x:n
P x:t
= P x:u1
4.3
1
uV x:n
1
uV x:t
for u t n
Reserve Formulas
Annuity-Ratio:
tVx:n
Insurance-Ratio:
tVx:n
Paid-up insurance:
tVx:n
Premium difference:
tVx:n
a
x+t:nt
a
x:n
Ax+t:nt Ax:n
=
1 Ax:n
Px:n
= 1
Ax+t:nt
Px+t:nt
= Px+t:nt Px:n a
x+t:nt
=1
Multiple Lives
5.1
Probabilities
= t px t py
t qxy
t pxy
= t px + t py t pxy
xy = x + y
= t qxt qy
Zn
exy:n =
t qxt py y (t)
+ t qyt px x (t)
t pxy
Zn
t pxy
exy =
dt
t pxy:n
dt
Z
Var [T (xy)] = 2
t t pxy dt
e2xy
5.2
x + a
y
a
xy + a
xy = a
t pxy
Txy + Txy = Tx + Ty
+ t pxy = t px + t py
ax|y = ay axy
5.3
Contingent Survival
Zn
=
t px t py
RnR
0
f (x, y) dx dy
y+t dt
0
2
n qxy
Zn
=
t qy t px x+t
dt
0
2
n qxy
Zn
=
t|nt qx t py
y+t dt
Various identities:
1
1
q xy + qxy
1
1
n q xy + n qxy
2
2
qxy + qxy
1
q xy
1
n qxy
=1
= n qxy
= n qxy
= q xy2
= n q xy2 + n qxn py
6
6.1
Multiple Decrements
Probabilities
(j)
x+t
6.2
f (t, j)
( )
t px
d (j)
= ( )
t qx
dt
t px
(j)
t1| qx
( ) (j)
t px qx+t1
(j)
t qx
Zt
=
( ) (j)
s px x+s ds
Let p0 and q 0 represent rates of decrement (i.e. assuming no other decrements are present).
0 (j)
t px
=e
Rt
0
(j)
0 (j)
t qx
x+s ds
Zt
=
0 (j) (j)
s px x+s ds
0 (j)
t px
( )
t px
(j)
t qx
= t qx( )
(j)
qx(1)
(1)
t|s qx
( )
s px
(1)
q x0
(1)
q x0
iqx(j) /qx( )
1
1 0 (2)
0 (3)
0 (2) 0 (3)
+
+ qx
q
q q
1
2 x
3 x x
(t + s)3 t3
(t + s)2 t2 0 (2)
0 (3)
0 (2) 0 (3)
s
+
qx + qx
qx qx
2
3