MATH 3630 Actuarial Mathematics I Final Examination Wednesday, 16 December 2015 ‘Time Allowed: 2 hours (3:30 - 5:30 pm) Room: LH 305 ‘Total Marks: 120 points Please write your name and student number at the spaces provided: Name: __[ mi Student ID: Sus gested Solu ons ¢ There are twelve (12) | Question | Worth | Score written-answer questions hhere and you are to answer all twelve. Each question is 1 10 worth 10 points. Your final mark will be divided by 120 2 i te it of 100%. to convert to a unit of 100% : a © Please provide details of your workings in the appropri 2 10 ate spaces provided; partial 5 points will be granted. 5 10 © Please write legibly. 6 10 © Anyone caught writing af- a 10 ter time has expired will be given a mark of zero. 8 10 * Best of luck. 9 10 * Have a Happy and Healthy 10 10 Christmas and New Year! ul 10 2 10 Total | 120 % = 120MarH 3630, ACTUARIAL MATHEMATICS I, FALL 2015 FINAL EXAMINATION Question No. 1: Suppose that mortality follows the Makeham’s law: Me =A+Be', fore 20. You are given: Th can be shown thet © Pu = 0.9392 t x © Peg = 0.8954 *fx = expe-l, By o . expel 7S ae ccuy} © Pay = 0.8232 So Hal losefe = -AL- Boy . ) Calculate e. lege Ths, los sPyo- los sas = Ber CF 1)(CF4) lose. lapel = bgsho = SS _.Ce-D(eoI) ose Divide beth egrets. we sk lox (84/8454) i = ot tog (°F 18Y.5232) Slums fe 6, Mt 5 ys Oe = NITED & Le =e {2 (8154), $2329 =Mari 3630, ACTUARIAL MATHEMATICS I, FALL 2015 Question No. 2: FINAL EXAMINATION Ina two-year select and ultimate mortality table, you are given: ‘© For some positive constant 6, we have i x) =(L— 28) x de and gion = (1-2) X dees for all x > 0. © 40) = 9,000 © 4 = 10,000 fa = 9,000 £42 = 6,300 7 0 m 2 tales eee culate Eos. / Zuo bei Grider Pry: drean _ 1-C-2b) Feo > Rug ye Tooo[i-Cl-2b 4] Actus 300 (-Aaz_Z = BlOG -L B60b ond Prag = Se nie pane gad Me de OE = OMB > 6300 = Seon [MEL Jeacdey Ths, we hee Crop = ( Blog’ ~\s0db) fi-G-02] > 630 = 567 t24sb t i2cb + SER" + teem aeuncen > sarb+3dab-63<0 > be ~ 344 Esc 4 (su-43) zy I Choose b= og” Finally , - c a Aryan = Too f= c-$¥e) ee 23 30Maru 3630, AcTUARIAL MaTHeMatics I, FALL 2015 FinaL EXAMINATION Question No. 3: You are given: For age ue to 50, mortality follows a constant force with = 0.005. © For ages 6 thd later, mortality is uniformly distributed with w = 110. © 5 =5% © Zis the present value random variable for a whole life insurance of $1 issued to (40), with benefit payable at the end of the year of death. Calculate the probability that Z will be greater than 0.45, Let TeTao be the Future lifetime of Cay. Us densihy cm be ~005 < 00 of & <10 Expleonscd os . (4) = Oov¢€ o “5 r0s i = hi wst < Be Thy, th went ZaySt Logs ts eqrld to Karey > Asows => Kk < los _ La 3 wiht Fs 0s \4.4 7015 Plz >o.4s) PEK p= Ay-t 5 a ree > (Ese > (ERY ye meee ag - | => > c=\4E bak c canna be gucter that Choo C= i |e = -o0.llSo3¢ ——— less oH erenege Jn PSMATH 3630, ACTUARIAL MATHEMATICS I, FALL 2015 Final EXAMINATION Question No. 6: For a special fully discrete 2-year term insurance policy issued to (63), you are given: Mortality follows the Illustrative Life Table. °1=3% © The death benefit is $500 plus a return of all premiums paid without interest. ¢ Premiums are calculated based on the actuarial equivalence principle. Calculate the net annual premium for this policy. Let P= neh anne premium Shere Apv(premivns) = PC 1+ V Rag) Arv(befeh) = (S00 +P) ves £ (500 20M Res hea = 500 (vos EV Festead FP (Ves rv fa ta) Cqueeys HA sdlurag PrP, we ot V7 Vasey ti EYED) S00 ca a Ta 4 Le (yo 28 Mtg) -2v" (> = =) \t 103 foo. c ee 1. FOooiy ——Maru 3630, ACTUARIAL Marnemarics I, FaLt 2015 FINAL EXAMINATION Question No. 7: Get-a-Life Insurance Company issues a special insurance policy to (50) with the following benefits: ‘* A death benefit of 100, payable at the end of year of death, provided death occurs before age 65. ‘© An annuity benefit that pays 500 annually starting immediately when the policyholder reaches age 65. You are given: Level annual premiums of P are paid for the first 15 years only and are determined according to the actuarial equivalence principle. i= 0.05 © isn = 19.00 © figs = 18.35 # isBso = 045 Calculate P. APV(penetits) = 100 Asyrigy t 15 Eso Age S00 AeVCpremivs) = PG sp dices ol2 C405 Asy=\-d Gs = 04S 2381 Mes Solus) fr P, We sue me ¥ 1835 woo ( 045238) = (4s) (12era0s)) #506 CYS) (18 39) \4.00 ~ 94S (1835) 4132.55 J 10.7425 =~ 384.6955 8Marx 3630, ACTUARIAL MaTHEMarics I, Fatt 2015 FINAL EXAMINATION Question No. 8: For a fully discrete whole life insurance policy of $1 on (40), you are given: ¢ Net annual premium is calculated according to the equivalence principle. © Mortality follows the Tllustrative Life Table. © 1=0.06 Calculate the probability that the policy makes a positive loss The net emma premim i P= Ago _ OtcrSe _ 601088174 ys UBC ku FP Lo vets Pam = (a Byver= a kn WA Pic. 1 = ay oa (hea = tL ew ere tes ( Nastia eld ~ RLK< \es( <7) | -. = {i ke 3) 63 A604 = 3 = = ———_— t Avo TSB NCC 0. B1BMAY‘MarH 3630, ACTUARIAL MATHEMATICS I, FALL 2015 FINAL EXAMINATION Question No. 9: ‘A. 30,000 fully discrete whole life policy issued to (35) with level annual premiums is priced with the following expense assumptions: % of Premium Per 1,000 Per Policy First year 25% 10 50 Renewal years 10% 25 You are given: «© i =0.03 © iss = 28.98, Calculate the gross annual premium. x 103 = OAS$4223 a= \- =—2gat = Ags = \- A Gay = ioe ARv( premio) = PVC bees) + ARV exper) + alsG + oiGa 35 30, x30 + G10 + 030035 + 25 + 2 G55 GGas = 30000A5, ; 64+ 34a G (048 = Sis) = wooo Ag. + 4 ay 040 As, - O15 000 COussazea) + ae F F4(ZEABD lr 0-40 (2898) - oly S7°595 pore 25.932 229.1523 ater 10Maru 3630, ACTUARIAL MarHematics I, PALL 2015 FINAL EXAMINATION oa Far Huser recline Question No. 10: oc For a fully discrete whole life insurance of $1,000 issued to (z), you are given: Sok pak oust « The net annual premium is $12. # Based on the normal approximation, if n ofsuch A with independent future lifetimes, were sold, the probability of a loss will be 0.02. Soler © = 0.05 “i © Ar = 0.24 \ bem laecee fi a ae «2A, = 0.64 » 2 Mrgesmcle © The 98th percentile of the standard normal distribution is 2.054. i Calculate n. ” Kt et dail (ooo 442) v 7 Far one suk polity , Le = looov ElLA= (loot B)Ar~ 3 = dere Ve[iye Cort) CA, Ag) = T2TD43 cS Bl ‘eu Fran J yt SS 2.054 Left, oO -4ed Bn | ~ CO . sul WeUY.3, sy -ta4s im > 4 x (4a.asy n= (es Jaana } => 1F.6z57e ew 16 36.123 = ae ( 454s ys Che ose ( em)‘MarH 3630, ACTUARIAL MarHeMarics I, Fat 2015 FINAL EXAMINATION Question No. 11: For a fully discrete 10-year endowment life insurance of $100 issued to (35), you are given: # Level gross annual premiums are calculated according to the equivalence principle. ‘© The first year expense is 20% of the gross annual premium. ‘¢ Expenses in subsequent years are 5% of the gross annual premium. ei =0.05 © Ags aq = 0.60 2 . “Ags 7m, =0.40 # Lf is the gross loss at issne random variable. Calculate Var{Z8], L8 3 prints 1) iA Gana +015 GB : 00G ORD ACH, = (Woot 4) ie 8 d Veli? }= (oot 856 Y"(*Assia~ (ssa) ) GO 2143} ge (ee Assi . 7.661839 BS Gsm - 8S = tobe py os 7.66283 2557, 02 . ra WY Cw - co) = PeSoIeeMaru 3630, ACTUARIAL MATHEMATICS I, FALL 2015 FINAL EXAMINATION Question No, 12: Based on the same mortality and interest assumptions, you are given: oa 10.70191 using the Woolhouse’s approximation with two terms, a) = 10.61361 using the Woolhouse’s approximation with three terms, Calculate a{f) using the Woolhouse’s approximetion with three terms. 5 Co . m-t Recalli Gyre Gx - oa W(& = Ge = Gr - ¥ » : wo UB Oe j 7a 4 reg (Mo ¥®) fs = 10-7014 = lo.6i3C1 = a) aes (Mes *2) Liman ats 10883 a 2.) ~ 0883 - Gene > Post dS ee Yay Qes = lowitt + 3 = ha e4I YG) . S$ 35 fe ee ic 7 Oe, me Bes a iors C.e¢00 a Woregy = lo,C ss 3gMATH 3630, ACTUARIAL MaTHEMarics I, FALL 2015 FINAL EXAMINATION EXTRA PAGE FOR ADDITIONAL OR SCRATCH WORK uS8ess ages lMlustrative Life Table: Basic Functions and Single Benefit Premiums at /= 0.08 o 40,000,000 9,749,603 9,705,588 9,663,731 617,802 93,607,808 9,597,695 9,587,169 9,576,208, 9,585,017 9,553,319 9)541,153, 0,828,475 9,515,235, 9,601,381 9,488,854 9,471,501 9,455,522 9,498,571 9,420,657 9,401,688, 91381,566, 9,000,104 9,337,427, 9,319,168 9,287,264 9,259,571 9,229,925 9,198,149, 9,164,054 9,127,428 9,088,049 9,046,679 9,000,057 8,950,901 897,913, 9,849,770 879,128, 712.621 9)640,861 8,503,435, 9,479,908 9,389,828 8,292,713 8,189,074 8,075,403, 7,954,179, 7,823,879 7/883,979 7,533,964 10009 20.42 0.98 oas 91 1.03 4st 842 897 7.58 824 396 9.75 1082 11.58 1262 13.76 15.01 16.38 1788 19.52 21.32 16.2010 17.0379 18.9119 16.7384 165133 184811 16.4081 16.3484 16.2878 16.2242 16.1574 46.0873 46.0130 18,9968 16.8561 16.7716 18.6831 48,5008 16.4938, 15.3028, 16.2870 18.1767 16.0916 1aoat68 148168 14.8864 14.5510 14.4102 142639 144121 13.9546 13,7014 13.6224 13.4475 18,2668 13,0803 12.8879 12.6896 12.4856 12.2758 12.0804 411.8395 119183 11.3818 11.1454 10.9041 40.6584 10.4084 10.1544 918089 100A, 10007.) 49.00 35.59 a2 5285 65.28 68.24 7135 7482 78.05 81.85 85.43 80.40 93.58 97.92 102.48 107.27 11228 14751 122.99 128.72 194.70 140.04 147.40 154.25 161.32 168,69 176.36 134.33 192.61 201.20 210.12 210.36 228.82 238.82 249.08 259.81 270.50 281.72 293.27 305.14 31733 320.84 342.65 355.75 369.13, 382.79 396.70 410.85 425.22 439.80 25.92 845 937 11.33 14.30 1.08 18.87 16.78 wn 18:75 19.87 21.07 2238 2379 25.31 26.05 2872 30.83 32.88 34.98 37.28 39.81 4255 48.48 48.63 52.01 85.62 59.48 63.681 68.02 72.72 773 83.08 38.73 9476 101.15 107.92 115.09 12287 13087 13911 147.99 187.33 16713 7744 108.17 109.41 211.13 22334 236.03 1000s 100006, 728.54 743.89 744.04 74371 743.18 743.01 742.88 74268 74249 74229 742.08 741.81 74154 74126 740.81 740.85 740.16 730.72 739.25 738.73 738.16 737.54 738.86 738.14 735.29 734.40 733.42 732.34 731.17 728.88 728.47 726.93 728.24 72339 TA37 719.17 716.78 m412 714.24 708.10 704.67 700.93 996.85 692.41 687 58 682.29 67658 670.33 683.58 658.23 541.95 553.48 353.34 852.69 551.64 551.36 551.08 350.73 550.26 540.97 549.53 549.05 548.53 1547.98 847.33 100006, 209,89 305.90 305.24 303.96 301.93 301.40 300.82 300.19 299.49 298.73 297.90 297.00 206.01 204.92 203.74 202.45 291.04 289,50 257.82 7286.00 284.00 281.84 27848 276.92 274.14 2r.42 287.85 26431 260.48 258.34 251.88 247.08 261.93 238,29 230.47 DANS 21742 21027 202.70 19472 105.32 47753 168.37 188.87 149.08 139.00 128.75 118.38 107.97 97.60 oo x B RRBSS Bas SBBy GSSS2 SSSSB BE Bssss ages 58 37 58 60 61 62 683 65* ssess axaay Bsars 8 REESS 8888s geese seses azcae 107 408 409 110 Illustrative Life Table: Basic Functions and Single Benefit Premiums at i= 0.08 ke 7,373,338 7201/6835 7.018.432 6,823,387 6,816,155, 6,396,609 6,164,683, 5,920,394 5,664,051 5,396,081 5,117,152 4/828,182 4,530,960 4,228,163 3,914,365 3,600,038 3,284,642 2;970,496 2,680,734 21358246 2,086,080 1,787,208 1,524,758 11201,083, 1,058,401 858,676 682,707 530,959 403,072 297,981 219,977 148,832 99,965, 4,617 40,048 23,705 13,339 7.101 31558 ‘1888 rar 292 408 38 " 100g, 23.29 25.44 2779 3037 33.18 38.28 30.62 43.30 4731 51.69 56.47 61.68 67.37 73.58 80.30 ares 95.681 104.28 113.69 123.89 134.04 48.89 159.81 173.75 188.7 204.03 222.27 240.86 260.73, 281.91 304.45 328.34 353.60, 380.20 408.12 437.28 487.61 498.99 531.28 564.29 597.83, 631.64 665.45, 608.97 731.87 Pe 9.6362 9.3728 9.1068 3.8387 8.5693 8.2088 30278 7.7588 7.4864 72170 6.9493 6.6836 6.4207 6.1610 5.9050 5.6533 5.4083, 5.1845 49282 4.6080 44742 azar 4.0470 3.aaa2 3.6488 34611 32812 3.1091 2.9450 2.7888 2.6408 2.5002 2.3676 22426 2.1282 2.0152 9123 1.8164 17273 e447 1.5085 1.4984 1.4341 1.3755 113223 10004, 10007A,) 454.56 24820 469.47 26283 484.53 276.92 499.70 291.48 514.85 308.42 630.28 321.78 545.60 33754 860.83 35384 576.24 370.08, 801.49 386.81 608.65 403.80 21.68 421.02 6968.58 438.42 851.28 485.95, 66575 473.59 680.00 491.27 93.98 508.08, 10787 528.80 721.04 844.18 734.07 561.87 7486.74 578.80 foeus uD 18 Tr092 61251 792.41 628.92 793.48 844.96 804,00 680.6 81427 675.83 824.01 690.59, 33.90 70486 e42t4 71861 250.53 731.83 858.48 744.60 865.99 756.60 873.06 768.13 870.70 79.08 895.03 730.44 891.78 798.21 897.19 808.41 902.23 817.02 906.90 825.06 e122 83263 91519 930.48 91882 845.84 922.14 851.69 92515 857.04 100055, 84.27 639.68 630.35 620.20 602.46 597.79 585.25 571.81 587.43 84207 25.71 1508.35 480.97 47087 450.19 428.86 406.62 383.57 359.79 335.40 310.58 zas.a4 260.21 236.11 210.38 486.21 46280 140.69 119.78 100.43 e278 93.97 53.09 atta 3112 2291 1637 1133 788 438 299 176 098 052 028 100005 387.53 374.36 360.44 348.77 330.37 31427 297.51 280.17 262.31 244.03 225.48 208.71 197.04 169.31 181.00 133.19 196.08 99.81 84.59 70.56 87.83 46.80 3861 28.17 2113 1841 40.91 7147 493 313, 1.90 110 so 031 018 oo7 0.03 001 0.00 0.00 00 0.00 0.00 0.00 0.00 10002065 87.37 7738 errs 58.54 40.88 41.86 34.53 27.98 22.19 1722 13.04 961 6.88 4qr 319 2.05 127 075 0.42 022 ont vs 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 110