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    exercises

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    exercises

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    6 views4 pages

    IHDoc 1

    Uploaded by

    Anonymous 0sxQqwAIMB
    exercises

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF or read online from Scribd
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    of 4
    Exercise 4.1 All answers below did not match textbook answers in the Ist edition, 1 am glad to see they corrected this in the 2nd edition - now they mateh! Fi ype SOMONS cress (8) on = On = (1.00) TE = 7350023 (0) Alyy = Ass ~ sas Aso = 0.151875 ~ (0.7859123)(0.188402) = 0.01265577 (0 sds =sBs dw = (0. 7359423)(0. 188492) = 01387192 (@) Assuming UDD, A lama FAnat son = Exercise 4.2 (2) Ad, a= Avo ~ pn Aso = 0.07698 — (0.37254) (0.18931) = 0.006454493 se 2 tg 0.05 a (b) Assuming UDD. Agan = 5Alnam + wEue = Gage gay 12106 — (0.36868)(0.20028)) + 0.36663 = 0.3816275 (©) roas = 10 Has Ass = (0.61198)(0.09653) = 0.590743, Exercise 4.5, (@) Endowment insuranes is the sum of a term Aum = Alm + A,-y Therefore, we have Aen = Sot yne tears Sot ate toate + Uae = eta + 0 [acute = pose) + a] = Doe tae + ee = 9. a Spee: which proves the result, (b) ‘The primary difference lies in the payment after period n — 1. If (2) survives to live for 1 years, he will receive a benefit at the end of year n if he dies the following year And if he survives, he will receive the pure endowment. So once he reaches age x-hn— 1, fa benefit of $1 is payable at the end of year n, regardless of whether he survives oF not. Hence, this explains the second term 0, yp, in the equation in part (a), Exercise 4.8 al By noting that A= Als + Ady and that A, = Alay + A, Asean, then wo have 1 _ Aza 0.25 03 Am" To Ane ‘Ane 7 1=0d0 7 06 = 0650. (a) Based on claims acceleration, we have 10000 Ay = 10000 [(1 + 2A, + A, 3h] = 10000)2.08"7(0.05) 40.50] = 5, 507.445 (b) Based on UDD, we have 0.03 000 | ere + 10000 A, = 10000 [ituh+ Ans 5, 507.463, Exercise 4.11 Consider any #* >i and let v= 1/(1-+i) and y, =1/(1 +i). Then clearly » > 1, so that ay = [ eticnae > [ esina= Ane ‘The result immediately follows. Another way to prove this is to take the derivative of A, with respect to i. First note that * wl flt)dt <0. For larger interest rate, the time value of money leads to smaller present values and thn simaller actuarial present: values, Exercise 4.12 From Ay, 5 = Adda + a0 Eso» We Can express o9 Esq = Aya — Adz and Ase = Adgi+ wifigAw = Aaat (Apsa~ Asm) 40 Solving for Azo, we get 1.31266 — 0.14996 — Paes o6 = o.5970123. ~~ 0.49247 = 0.14996 Exercise 4.13 We can write X as X = vi) —yTI(T n) and ¥ as ¥ = 07 I(T n). We therefore have that EW] = vp, = 0.30(0.80) = 0.24 and Var(W] = ‘Clearly, X = Y + W so that ‘Var[X] = Var{¥] + Var[WW] + 2Cov{¥. 17], * p,(1 — ,P2) = (0.30)?(0.80)(0.20) = 0.0144. where Cov[¥,W] = E[YW] = EIYJE[IV] = 0 = 0.04(0.24) = ~0.0096. Solving for the variance of ¥, we have Var[¥] = Var[X] = Var[IV] = 2Cov{y, 17] = 0.0052 — 0.0144 + 20.0096) = 0.01. Exercise 4.15 Although not clearly stated in the problem, we will astume that Lenefits are payable at the i oath Begia't gales TS” rs deat = Fhe momen of death, Begin by writing) = 40°" TSP = oF A(T w) and 22 = «fom which it follows that Z,Z = I(T

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