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PrinciplesofActuarialScience PDF
PrinciplesofActuarialScience PDF
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415 Hduo| Ruljlqv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 4
41514 Suredelolw| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 4
41515 Pruwdolw| dqg Frpsrxqg Lqwhuhvw 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 6
41516 Ghyhorsphqw ri Lqvxudqfh dqg Shqvlrqv 1 1 1 1 1 1 1 1 1 1 1 1 1 8
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41614 Ghwhuplqlvwlf dqg Vwrfkdvwlf Prghov 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :
41615 Suredelolw| dqg Vwdwlvwlfv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ;
41616 Ulvn Srrolqj 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ;
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41619 Ulvn dqg Hfrqrplfv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 43
4161: Ilqdqfldo Sulqflsohv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 43
4161; Dfwxduldo Prghoolqj Sulqflsohv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 44
4161< Ilqdqfldo Vhfxulw| V|vwhpv dqg Ulvn Pdqdjhphqw 1 1 1 1 1 1 1 45
417 Frpsxwlqj Wrrov 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 46
418 Frqfoxvlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 47
419 Ixuwkhu uhdglqj 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 47
41: Vroxwlrqv wr H{huflvhv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 47
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515 Suredelolw| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 4:
51514 Shupxwdwlrqv dqg Frpelqdwlrqv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 4:
51515 Suredelolw| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 4<
51516 Udqgrp yduldeohv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 53
51517 Suredelolw| ghqvlw| ixqfwlrqv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 54
51518 H{shfwdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 55
516 Vrph suredelolw| ghqvlwlhv riwhq xvhg lq dfwxduldo vflhqfh 1 1 1 1 1 1 1 55
51614 Glvfuhwh 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 56
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517 Jdpeohu*v Uxlq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 5:
518 Vlpxodwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 63
519 Ilqdqfldo Ulvn 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 64
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61514 Vxuylydo ixqfwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 75
61515 Dfwxduldo qrwdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 76
61516 Kd}dug udwhv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 77
616 Wkh Olih Wdeoh 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 79
617 Odzv ri Pruwdolw| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 84
61714 GhPrlyuh*v Odz 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 84
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618 Frqfoxvlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 86
619 Vroxwlrqv wr H{huflvhv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 86
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715 Frpsrxqg Lqwhuhvw 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 8:
71514 Lqwurgxfwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 8:
71515 Ghqlwlrqv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 8;
71516 Hhfwlyh lqwhuhvw udwhv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 8;
71517 Uhfxuuhqfh uhodwlrqv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 93
71518 Dfwxduldo qrwdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 97
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716 Olih Dqqxlwlhv 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 9;
71614 Dfwxduldo Qrwdwlrq 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :4
717 Lqyhvwphqw Pdqdjhphqw 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 :5
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815 Ulvn dqg H{shfwhg Xwlolw| 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ;6
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Liability
Income Premium Interest Expenses Claims increase Profit
Year 1 $18,335.58 $666.78 $5,000.00 $0.00 $14,002.35 -$0.00
Year 2 $18,335.58 $1,616.90 $0.00 $0.00 $19,952.47 $0.00
Year 3 $18,335.58 $2,614.52 $0.00 $0.00 $20,950.10 -$0.00
Year 4 $18,335.58 $3,662.02 $0.00 $0.00 $21,997.60 $0.00
Year 5 $18,335.58 $4,761.90 $0.00 $100,000.00 -$76,902.52 $0.00
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Number Deviation of
Loss
Average Loss
10.00 9,900,000.00 3,146.43
50.00 1,980,000.00 1,407.12
100.00 990,000.00 994.99
1 1,000.00 99,000.00 314.64
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Utility
Loss Probability Utility ln(1+W) ln(1+100000-W)
100,000 0.1 11.51 0.00
0 0.9 0.00 11.51
Expected Utility 1.15 10.36
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Loss 1 Loss 2 Loss 3 Loss Probability Utility ln(1+W) ln(1+100000-W)
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Utility 2.84 11.37
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0 12,500,000 3535.53
0.25 15,625,000 3952.85
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0.75 21,875,000 4677.07
1 25,000,000 5000.00
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Wkh iroorzlqj wdeoh vkrzv wkhvh ydoxhv dorqj zlwk wkh fdofxodwlrq ri wkh h{shfwhg
suhvhqw ydoxh ri fodlp sd|phqwv iru '41
Probability =
Age qx k vk+1 kp20
kp20q20+k
20 0.00192 0 0.9433962 1.0000000 0.0019200
21 0.00181 1 0.8899964 0.9980800 0.0018065
22 0.00160 2 0.8396193 0.9962735 0.0015940
23 0.00138 3 0.7920937 0.9946794 0.0013727
24 0.00118 4 0.7472582 0.9933068 0.0011721
Expected
value 0.0067206
Wkh h{shfwhg suhvhqw ydoxh ri wkh fodlp sd|phqwv iru d vxp lqvxuhg ri '433333 lv
433333fffS.2fS ' S.2fS
Wkh ydoxhv iru & R% duh ghwhuplqhg e| wdnlqj f R% ' dqg wkhq fdofxodwlqj & R% xvlqj
wkh uhodwlrqvkls wkdw
Wkh ydoxhv iru &n fdq dovr eh fdofxodwhg lq d vlplodu uhfxuvlyh dssurdfk e| qrwlqj
wkdw
&
&n '
n
Dfwxduldo Pdqdjhphqw 49:
Wkxv
'
fS
' fbebS2
2 '
fS
fbebS2
'
fS
' fHHbbbSe
dqg vr rq1
Wkxv zh fdq fdofxodwh doo ri wkh &n ydoxhv e| glylglqj hdfk suhylrxv ydoxh e| n
Wkh h{shfwhg ydoxh ri wkh fodlp sd|phqwv lv wkh vxp ri wkh suhvhqw ydoxhv dw wkh hqg
ri hdfk srvvleoh djh dw ghdwk wlphv wkh suredelolw| ri sd|phqw1 Wklv lv
H{huflvh ;16 Ghwhuplqh wkh h{shfwhg suhvhqw ydoxh ri wkh fodlp sd|phqwv iru d 8
|hdu whup lqvxudqfh rq d olih djhg 73 zlwk vxp lqvxuhg '433333 xvlqj wkh iroorzlqj
pruwdolw| udwhv dqg d 8( s1d1 hhfwlyh lqwhuhvw udwh1 Dovr ghwhuplqh wkh vwdqgdug
ghyldwlrq ri wkh suhvhqw ydoxh ri wkh fodlp sd|phqwv1
}i ^%
73 31334:7
74 31334<3
75 313353<
76 3133563
77 3133587
Suhplxpv Wkh suhplxpv iru d whup lqvxudqfh duh sdlg lq dgydqfh dv orqj dv
wkh olih lv dolyh/ exw rqo| iru wkh whup ri wkh srolf|1 Iru vlpsolflw| zh dvvxph wkdw
wkh suhplxpv duh sdlg dqqxdoo|1 Wklv lv riwhq wkh fdvh iru whup lqvxudqfh dowkrxjk
suhplxpv fdq eh sdlg prqwko| ru iru rwkhu sd|phqw iuhtxhqflhv gxulqj wkh |hdu1
Ghqrwh wkh suhplxp e| 1
49; Olih Lqvxudqfh
Li wkh olih lv dolyh dw h{dfw djh % n & iru & ' fc c 2c ? wkhq d suhplxp
zloo eh sdlg1 Wkh suhvhqw ydoxh ri wkh suhplxp gxh dw djh % n & lv
& iru & ' fc c 2c ?
f iru & ?
Iru d olih djhg % wkh suredelolw| wkdw wkh| zloo eh dolyh dw djh % n & dqg zloo sd| wkh
suhplxp wkhq gxh lv & R% 1
Wkh h{shfwhg suhvhqw ydoxh ri wkh suhplxpv dw djh % lv wkh suhvhqw
ydoxh ri wkh suhplxp sdlg dw djh % n & pxowlsolhg e| wkh suredelolw| wkdw wkh olih lv
dolyh dw djh % n & vxpphg iru doo djhv1 Wklv lv
[
?3
& E& R%
&'f
Wkh dfwxduldo qrwdwlrq iru wkh h{shfwhg suhvhqw ydoxh ri d suhplxp ri '4 iru
d olih djhg % sdlg lq dgydqfh iru d whup ri ? |hduv lv
@% G ?
Wkxv wkh h{shfwhg suhvhqw ydoxh ri wkh suhplxpv rq wkh ? |hdu whup lqvxudqfh
iru d olih djhg % lv
@
% G ?
H{dpsoh ;19 Ghwhuplqh wkh h{shfwhg suhvhqw ydoxh ri suhplxpv ri 4 s1d1 sd|deoh
lq dgydqfh iru d 8 |hdu whup lqvxudqfh rq d olih djhg 53 xvlqj wkh iroorzlqj pruwdolw|
udwhv dqg d 9( s1d1 hhfwlyh lqwhuhvw udwh +gdwd lv dv iru wkh suhylrxv h{dpsoh,1
Djh ^%
53 31334<5
54 31334;4
55 3133493
56 313346;
57 313344;
Vroxwlrq ;19 Wkh iroorzlqj wdeoh vkrzv wkh ydoxhv xvhg wr fdofxodwh wkh h{shfwhg
suhvhqw ydoxh ri suhplxpv ri 4 s1d1 sd|deoh lq dgydqfh
Age qx k vk kp20
20 0.00192 0 1.0000000 1.0000000
21 0.00181 1 0.9433962 0.9980800
22 0.00160 2 0.8899964 0.9962735
23 0.00138 3 0.8396193 0.9946794
24 0.00118 4 0.7920937 0.9933068
Expected
value 4.4502088
Dfwxduldo Pdqdjhphqw 49<
Wkh h{shfwhg suhvhqw ydoxh lv wkh vxp ri wkh surgxfw ri wkh suhvhqw ydoxh ri hdfk
suhplxp sd|phqw ri '4 wlphv wkh suredelolw| wkdw lw zloo eh sdlg1
Wkh suhvhqw ydoxh ri wkh suhplxp sdlg dw wkh vwduw ri wkh srolf| lv 4 vlqfh lw lv sdlg
dw wkh vwduw ri wkh uvw |hdu +wlph 3,1 Wkh suredelolw| wkdw wkh olih lv dolyh zkhq wkh
srolf| lv lvvxhg dw wlph 3 lv 41
Wkh suhvhqw ydoxh ri wkh suhplxp sd|phqw dw wkh vwduw ri wkh vhfrqg |hdu lv
' ' fbebS2
fS
dqg wkh suredelolw| wkdw wkh olih zloo eh dolyh wr sd| wklv suhplxp lv
R2f ' ^2f ' fbbHfH
Zh mxvw uhshdw klv iru hdfk suhplxp sd|phqw1 Wkhuh duh yh sdlg dw wkh vwduw ri hdfk
|hdu ri wkh srolf| whup1
Wkh h{shfwhg ydoxh lv mxvw wkh vxp ri wkh suhvhqw ydoxh ri wkh suhplxp wlphv wkh
suredelolw| wkh olih zloo eh dolyh wr sd| wkh suhplxp iru hdfk suhplxp1 Wklv lv
Efffffff fffffff
n EfbebS2 fbbHfHff
n EfHHbbbSe fbbS2.D
n EfHbSb fbbeS.be
n Ef.b2fb. fbbfSH
' eeDf2fHH
H{huflvh ;17 Ghwhuplqh wkh h{shfwhg suhvhqw ydoxh ri suhplxpv ri 4 s1d1 sd|deoh lq
dgydqfh iru d 8 |hdu whup lqvxudqfh rq d olih djhg 73 xvlqj wkh iroorzlqj pruwdolw|
udwhv dqg d 8( s1d1 hhfwlyh lqwhuhvw udwh1 Dovr ghwhuplqh wkh vwdqgdug ghyldwlrq ri
wkh suhvhqw ydoxh ri suhplxp sd|phqwv ri '41
}i ^%
73 31334:7
74 31334<3
75 313353<
76 3133563
77 3133587
Ohw | %G ? eh wkh h{shfwhg suhvhqw ydoxh ri ehqhwv dw djh % n |1 Wklv fdq eh
uhodwhg wr wkh h{shfwhg suhvhqw ydoxh ri ehqhwv dw % n | n dv iroorzv1
Li wkh olih glhv gxulqj wkh |hdu/ zlwk suredelolw| ^%n| c wkhq wkh ehqhw ri 7 lv
sdlg dw wkh hqg ri wkh |hdu1 Wkh h{shfwhg suhvhqw ydoxh ri wkh ehqhwv zloo wkhq eh
htxdo wr 7 vlqfh qr ixwxuh sd|phqwv duh pdgh rqfh wkh olih kdv glhg1
Li wkh olih vxuylyhv wr wkh hqg ri wkh |hdu/ zlwk suredelolw| R%n| / wkhq wkh
h{shfwhg suhvhqw ydoxh ri wkh ehqhwv zloo htxdo wkdw iru d olih djhg % n | n Wklv lv
mxvw |n %G ?
Qrz wkhvh h{shfwhg ydoxhv duh dv dw wkh hqg ri wkh |hdu1 Wr ghulyh wkh h{shfwhg
suhvhqw ydoxh dw wkh vwduw ri wkh |hdu xvlqj wkh hqg ri |hdu h{shfwhg suhvhqw ydoxhv
zh qhhg wr glylgh wkh hqg ri |hdu ydoxh e| n
Zh wkhq kdyh
k l
^%n| 7 n R%n| |n %G ?
| %G ? '
n
Wkh ehqhw ri xvlqj wkh uhfxuuhqfh dssurdfk wr ydoxdwlrq lv wkdw lw fdq hdvlo|
eh surjudpphg lq d frpsxwhu surjudp1 Doo wkdw lv qhhghg lv wkh whuplqdo ydoxh dqg
wkhq d gr orrs lv xvhg wr ghulyh wkh ydoxh dw hdfk hduolhu djh1 Wklv fdq dovr eh vhw xs
hdvlo| lq d vsuhdgvkhhw1
Wr looxvwudwh wkh uhfxuuhqfh dssurdfk zh fdq ghulyh wkh h{shfwhg suhvhqw ydoxh
ri ehqhwv iru wkh ? |hdu whup lqvxudqfh rq d olih djhg % Dw | ' ? zh kdyh ? %G ? ' f
vlqfh qr ixuwkhu ehqhwv duh sdlg diwhu djh % n ?
Xvlqj wkh uhfxuuhqfh uhodwlrq zh wkhq kdyh ryhu wkh qdo |hdu ri wkh srolf|
^%n?3 7 n R%n?3 f
?3 %G ? '
n
^%n?3 7
'
n
Uhshdwlqj wkh uhfxuvlrq iru dqrwkhu |hdu zh wkhq rewdlq
^%n?32 7 n R%n?32 ^%n?3
n
7
?3 %G ? '
n
7 7 7
' ^%n?3 n R%n?3 ^%n?3 2 n R%n?3 R%n?32 ^%n?3
n E n E n
7 7 7
' ^%n?3 n R%n?3 ^%n?3 2 n2 R%n?3 ^%n?3
n E n E n
Dfwxduldo Pdqdjhphqw 4:4
Wkh uhfxuuhqfh dssurdfk fdq eh xvhg iru ghwhuplqlqj wkh h{shfwhg suhvhqw
ydoxh ri suhplxpv/ ehqhwv ru rwkhu ydoxhv dv zhoo1
H{huflvh ;18 Zulwh d frpsxwhu surjudp wr fdofxodwh wkh h{shfwhg suhvhqw ydoxh ri
fodlpv sd|phqwv iru d whup lqvxudqfh zlwk sd|phqwv dw wkh hqg ri wkh |hdu ri ghdwk
iru lqsxw ydoxhv ri 7/ / % dqg ? Uhdg wkh ^% ydoxhv iurp d oh ru d wdeoh1 Xvh
wkh uhfxuvlyh dssurdfk dqg d gr orrs wr fdofxodwh wkh h{shfwhg suhvhqw ydoxh ri fodlpv
sd|phqwv1
Sulqflsoh ri Htxlydohqfh
Wkh suhplxp iru d whup lqvxudqfh srolf| fdq eh ghwhuplqhg xvlqj wkh sulqflsoh ri
htxlydohqfh1 Dq doorzdqfh lv pdgh iru lqlwldo h{shqvhv dqg uhqhzdo h{shqvhv1
H{dpsoh ;1: Xvh wkh sulqflsoh ri htxlydohqfh wr ghwhuplqh wkh suhplxp iru d 8
|hdu whup lqvxudqfh rq d 53 |hdu rog pdoh zlwk vxp lqvxuhg ri '433333 xvlqj wkh
iroorzlqj pruwdolw| udwhv dqg d 9( s1d1 hhfwlyh lqwhuhvw udwh +gdwd lv dv iru wkh
suhylrxv h{dpsohv,1
Djh ^%
53 31334<5
54 31334;4
55 3133493
56 313346;
57 313344;
Doorz iru lqlwldo h{shqvhv ri 318( ri wkh vxp lqvxuhg dqg uhqhzdo h{shqvhv ri '433
shu suhplxp sd|phqw1
Vroxwlrq ;1: Ghqrwh wkh suhplxp e| 1 Lq wkh suhylrxv h{dpsohv zh kdyh fdofxodwhg
wkh h{shfwhg suhvhqw ydoxh ri fodlp sd|phqwv dqg suhplxpv dw 9( s1d1 lqwhuhvw iru
wkhvh pruwdolw| udwhv1
Wkh sulqflsoh ri htxlydohqfh htxdwhv wkh h{shfwhg suhvhqw ydoxh ri suhplxp lqfrph wr
4:5 Olih Lqvxudqfh
wkh h{shfwhg suhvhqw ydoxh ri fodlpv dqg h{shqvhv1 Xvlqj dfwxduldo qrwdwlrq/ iru wklv
whup lqvxudqfh srolf| zh kdyh wkh h{shfwhg suhvhqw ydoxh ri suhplxpv
Wkh h{shfwhg suhvhqw ydoxh ri wkh lqlwldo dqg uhqhzdo h{shqvhv zloo eh
H{huflvh ;19 Xvh wkh sulqflsoh ri htxlydohqfh wr ghwhuplqh wkh suhplxp iru d 8 |hdu
whup lqvxudqfh rq d olih djhg 73 xvlqj wkh iroorzlqj pruwdolw| udwhv dqg d 8( s1d1
hhfwlyh lqwhuhvw udwh1
}i ^%
73 31334:7
74 31334<3
75 313353<
76 3133563
77 3133587
Doorz iru lqlwldo h{shqvhv ri 318( ri wkh vxp lqvxuhg dqg uhqhzdo h{shqvhv ri '433
shu suhplxp sd|phqw1
Iurp hfrqrplf wkhru| zh nqrz wkdw lq d frpshwlwlyh pdunhw wkh surw zloo
eh pd{lplvhg e| fkdujlqj d suhplxp wkdw zloo htxdwh pdujlqdo frvw dqg pdujlqdo
uhyhqxh1 Wkh qxpehu ri srolflhv vrog zloo ghshqg wr vrph h{whqw rq wkh suhplxp udwh
fkdujhg1 Kljkhu suhplxpv zloo phdq ohvv srolflhv duh olnho| wr eh vrog1 Vlqfh uhyhqxh
Dfwxduldo Pdqdjhphqw 4:6
lv wkh surgxfw ri wkh qxpehu ri srolflhv vrog wlphv wkh suhplxp udwh shu srolf| wkhuh
zloo eh dq rswlpxp qxpehu ri srolflhv wkdw zloo pd{lplvh surw1
Vrph ri wkh h{shqvhv ri uxqqlqj dq lqvxudqfh frpsdq| duh {hg frvwv1 Suh0
plxpv lq d frpshwlwlyh pdunhw zloo lqfoxgh d ordglqj iru pdujlqdo frvwv1 Plfurhfr0
qrplfv vwxglhv wkh wkhru| ri wkh up dqg surw pd{lplvdwlrq iru glhuhqw w|shv ri
frpshwlwlrq lq d pdunhw udqjlqj iurp prqrsro| wr shuihfw frpshwlwlrq1
D ordglqj iru surw zloo dovr eh lqfoxghg1 Wkh surw ordglqj zloo eh uhtxluhg
wr surylgh vkduhkroghuv zlwk d frpshwlwlyh uhwxuq rq wkhlu htxlw| lqyhvwphqw lq wkh
frpsdq|1 Wklv ordglqj fdq eh ghwhuplqhg xvlqj surw whvwlqj edvhg rq fdvk rz
surmhfwlrq1 Doorzdqfh iru vxuuhqghuv dqg odsvhv vkrxog dovr eh pdgh lq d surw whvw1
Surw whvwv duh vwxglhg lq odwhu dfwxduldo vxemhfwv1
Suredelolw| ri uxlq
Wr vkrz krz wr dvvhvv wkh suredelolw| ri uxlq iru dq lqvxudqfh frpsdq| zh zloo
frqvlghu d vlpsolhg lqvxudqfh frpsdq| zlwk ? rqh0|hdu whup lqvxudqfh srolflhv doo
rq olyhv djhg %1
Wkh iroorzlqj dvvxpswlrqv duh pdgh
Wkh suredelolw| wkdw hdfk srolf| zloo fodlp gxulqj wkh |hdu lv ^% 1
Ghqrwh wkh wrwdo fodlpv e| A 1 Ohw f wdnh wkh ydoxh u li wkh | olih glhv gxulqj wkh
|hdu ru f li wkh olih vxuylyhv1 Zh kdyh
[
?
A ' f ' u
'
4:7 Olih Lqvxudqfh
. dA o ' . duo
' . do u
' ?^% u
T @o dA o ' T @o duo
' T @o do u2
' ?^% E ^% u2
h dA : ? n o
A
Li zh glylgh wkh wrwdo fodlpv A e| wkh vl}h ri hdfk fodlp u wkhq u
lv wkh qxpehu
ri fodlpv 1 Wkh suredelolw| ri uxlq lv wkhuhiruh
? n
h :
u
H{dpsoh ;1; Dq lqvxudqfh frpsdq| vhoov rqh |hdu whup lqvxudqfh srolflhv rq olyhv
djhg 53 iru d suhplxp ri '583 hdfk zlwk d vxp lqvxuhg ri '433/3331 Lw kdv vrog
43333 lqghshqghqw srolflhv1 Wkh suredelolw| ri d fodlp rq d srolf| lv 31334<51 Wkh
frpsdq| kdv fdslwdo ri '833/3331 Ghwhuplqh wkh suredelolw| wkdw wkh frpsdq| zloo qrw
kdyh vx!flhqw ixqgv wr sd| lwv wrwdo fodlpv1
Vlqfh hdfk fodlp lv iru '433/333/ wkhuh lv vx!flhqw ixqgv wr phhw d pd{lpxp ri 63
fodlpv1 Wkh suredelolw| wkdw wkhuh zloo qrw eh vx!flhqw ixqgv wr phhw wkh fodlpv lv
wkh suredelolw| wkdw wkh qxpehu ri fodlpv h{fhhg 63 ru +40suredelolw| wkdw wkh qxpehu
ri fodlpv lv ohvv wkdq ru htxdo wr 63,1
Zh nqrz wkdw xqghu lq wklv fdvh wkh qxpehu ri fodlpv kdv d ?J6@,Efc fffc fffb2
glvwulexwlrq1 Zh fdq fdofxodwh
h d fo
H{huflvh ;1: Dq lqvxudqfh frpsdq| vhoov rqh |hdu whup lqvxudqfh srolflhv rq olyhv
djhg 73 iru d suhplxp ri '553 hdfk zlwk d vxp lqvxuhg ri '433/3331 Wkh suredelolw|
ri d fodlp rq d srolf| lv 31334:71 Wkh frpsdq| kdv vrog 43333 srolflhv1 Ghwhuplqh
wkh fdslwdo wkdw wkh frpsdq| uhtxluhv li wkh suredelolw| wkdw wkh frpsdq| zloo qrw kdyh
vx!flhqw ixqgv wr sd| lwv wrwdo fodlpv lv wr eh ohvv wkdq 313341
?^%
?^% E ^%
Uhfdoo wkdw li d qrupdo udqgrp yduldeoh f kdv h{shfwhg ydoxh +phdq, > dqg
vwdqgdug ghyldwlrq j +yduldqfh ri j 2 , wkhq
f >
~'
j
4:9 Olih Lqvxudqfh
kdv d vwdqgdug qrupdo glvwulexwlrq zlwk h{shfwhg ydoxh +phdq, ri }hur dqg
vwdqgdug ghyldwlrq ri 41
Uhyhuvlqj wkh surfhgxuh zh fdq vwduw iurp d vwdqgdug qrupdo udqgrp yduldeoh
~ dqg rewdlq d qrupdo udqgrp yduldeoh f zlwk dq| vshflhg h{shfwhg ydoxh > dqg
yduldqfh j 2 xvlqj
f ' > n j~
Wkh uhtxluhg suredelolw| ri uxlq/ dvvxplqj wkdw wkh qxpehu ri fodlpv kdv d
qrupdo glvwulexwlrq/ lv
? n
h
u
% &
? n
?^% ?^ %
' h s su
?^% E ^% ?^% E ^%
% &
? n
?^%
' h ~ s u
?^% E ^%
zkhuh ~ lv d vwdqgdug qrupdo udqgrp yduldeoh zlwk h{shfwhg ydoxh }hur dqg
yduldqfh htxdo wr 41
Zh xvh wkh qrupdo glvwulexwlrq zlwk sdudphwhuv
dqg
s
j' ?^% E ^%
Wkh suredelolw| ydoxhv iru wkh vwdqgdug Qrupdo glvwulexwlrq duh wdexodwhg lq vwdq0
gdug vwdwlvwlfdo wdeohv dqg fdq eh orrnhg xs zkhqhyhu d frpsxwhu sdfndjh zlwk wkh
fxpxodwlyh glvwulexwlrq iru wkh elqrpldo glvwulexwlrq lv qrw dydlodeoh1 Wkh Qrupdo
glvwulexwlrq lv dq dssur{lpdwlrq1
H{dpsoh ;1< Iru wkh suhylrxv h{dpsoh/ xvh wkh qrupdo dssur{lpdwlrq wr hvwlpdwh
wkh suredelolw| wkdw wkh frpsdq| zloo qrw kdyh vx!flhqw ixqgv wr sd| lwv wrwdo fodlpv1
zkhuh lv wkh qxpehu ri fodlpv dqg ? ' ffffc ' 2Dfc ' Dfffff dqg u '
Dfwxduldo Pdqdjhphqw 4::
fffff
Wkh suredelolw| uhtxluhg lv
h d : fo
dqg
s
j ' ?^% E ^%
s
' ffff Efffb2 E fffb2
s
' bSS
' e..D.
dqg
0.10000
0.09000
0.08000
0.07000
0.06000
Probability
Binomial
0.05000 Normal
Poisson
0.04000
0.03000
0.02000
0.01000
0.00000
0 10 20 30 40 50 60
Number of Deaths
Qrwh wkdw li wkh fodlpv gr h{fhhg wkh suhplxp lqfrph dqg fdslwdo dydlodeoh
wr sd| wkh fodlpv wkhq wkh frpsdq| zloo eh lqvroyhqw dqg wkh srolf|kroghuv zloo qrw
uhfhlyh doo ri wkhlu vxp lqvxuhg1 Wklv phdqv wkdw wkh wrwdo fodlpv sdlg wr srolf|kroghuv
zkr kdyh lqfxuuhg d orvv zloo eh wkh ohvvhu ri wkh suhplxpv soxv fdslwdo ru wkh wrwdo
fodlpv1
Li dfwxdo fodlpv h{fhhg wkh ixqgv dydlodeoh ri suhplxpv soxv fdslwdo wkhq wkh
fodlpv sdlg zloo eh wkh ohvvhu dprxqw ri wkh suhplxp dqg fdslwdo qrw wkh ixoo fodlpv
gxh1 Wklv lv ehfdxvh wkh vkduhkroghuv lq d frpsdq| kdyh olplwhg oldelolw|1 Olplwhg
oldelolw| phdqv wkdw vkduhkroghuv ri d frpsdq| duh rqo| uhvsrqvleoh iru wkh ghewv ri
wkh frpsdq| wr d pd{lpxp ri wkhlu vkduh ri wkh htxlw| ri wkh frpsdq|1
Zruvw fdvh iru vkduhkroghuv lv wkdw wkh| orvh doo ri wkhlu lqyhvwphqw exw wkh|
duh qrw uhvsrqvleoh iru dq| ixuwkhu orvvhv ri wkh frpsdq| qrw fryhuhg e| wkh htxlw|
lq wkh frpsdq|1
Dfwxduldo Pdqdjhphqw 4:<
4? dAc ? n o
Wkh h{shfwhg surw iru vkduhkroghuv zloo eh h{shfwhg suhplxpv ohvv h{shfwhg
fodlpv zklfk lv
Rqfh wkh wrwdo fodlpv A h{fhhg wkh ixqgv dydlodeoh/ ? n c wkhq wkh srolf|kroghuv
zloo kdyh wr phhw wkh glhuhqfh/ A E? n c rxw ri wkhlu rzq uhvrxufhv1
Vlpxodwlrq
Iru pruh uhdolvwlf dvvxpswlrqv derxw wkh fodlpv glvwulexwlrqv dqg iru odujhu/ pruh
frpsoh{ sruwirolrv ri srolflhv wkh ghwhuplqdwlrq ri suredelolw| ri uxlq/ h{shfwhg surw
dqg rwkhu qdqfldo yduldeohv fdq ehvw eh grqh xvlqj vlpxodwlrq1 Wkh xvh ri vlpxodwlrq
lv fryhuhg lq pruh ghwdlo lq odwhu dfwxduldo vxemhfwv1
;1715 Ydoxdwlrq ri Srolf| Oldelolwlhv
Wkh srolf| ydoxh ri d oldelolw| iru d olih lqvxudqfh srolf| lv wkh h{shfwhg suhvhqw ydoxh
ri ixwxuh fodlpv dqg h{shqvhv ohvv wkh h{shfwhg suhvhqw ydoxh ri ixwxuh suhplxpv dv
dw wkh gdwh ri wkh oldelolw|1
Oldelolw| ydoxhv duh ghwhuplqhg dw wkh hqg ri hdfk dffrxqwlqj shulrg dqg duh
xvhg wr ghwhuplqh wkh surw iurp wkh lqvxudqfh srolf|1 Uhdolvwlf ghwhuplqdwlrq ri
surw uhtxluhv wkh xvh ri uhdolvwlf ydoxhv iru ixwxuh lqwhuhvw udwhv dqg pruwdolw| udwhv
zkhq ydoxlqj oldelolwlhv1
Wkh lqwhuhvw udwhv xvhg wr ydoxh wkh srolf| oldelolwlhv vkrxog dovr eh frqvlvwhqw
zlwk wkh lqwhuhvw udwhv xvhg wr ydoxh wkh dvvhwv ri wkh lqvxudqfh frpsdq|1
Wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| fdq eh fdofxodwhg uhfxuvlyho|1 Ghqrwh
wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| dw djh % n | iru wkh whup lqvxudqfh rq d olih
djhg % iru d whup ri ? |hduv zlwk vxp lqvxuhg sd|deoh dw wkh hqg ri wkh |hdu ri ghdwk
e| | T%G ? 1
Li wkh olih glhv gxulqj wkh |hdu/ zlwk suredelolw| ^%n| c wkhq wkh ehqhw ri 7 lv
sdlg dw wkh hqg ri wkh |hdu1 Wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| zloo wkhq eh
htxdo wr 7 vlqfh wklv dprxqw lv gxh dqg sd|deoh rq ghdwk dqg ehfrphv wkh srolf|
oldelolw| rqfh wkh olih kdv glhg1
Li wkh olih vxuylyhv wr wkh hqg ri wkh |hdu/ zlwk suredelolw| R%n| / wkhq wkh
h{shfwhg ydoxh ri wkh srolf| oldelolw| zloo htxdo wkdw iru d olih djhg % n | n
Dw wkh vwduw ri wkh |hdu d suhplxp lv uhfhlyhg dqg wkh srolf| ydoxh dorqj zlwk
wkh suhplxp fdq eh lqyhvwhg dw lqwhuhvw iru d |hdu1
4;3 Olih Lqvxudqfh
Zh wkhq kdyh
k l k l
| T%G ? n E n ' ^%n| 7 n R%n| |n T%G ?
vr wkdw
k l
^%n| 7 n R%n| |n T%G ?
| T%G ? '
E n
Dw wkh hqg ri wkh srolf| whup zkhq | ' ? zh kdyh ? T%G ? ' f
Wklv uhfxuvlyh irupxod fdq eh uhdglo| prglhg wr doorz iru h{shqvhv1 Li . duh
wkh h{shqvhv sdlg dw wkh wlph wkh suhplxp lv sdlg wkhq
k l
^%n| 7 n R%n| |n T%G ?
| T%G ? ' n.
E n
H{dpsoh ;143 Dq lqvxudqfh frpsdq| vhoov 8 |hdu whup lqvxudqfhv rq 53 |hdu rog
pdohv zlwk d vxp lqvxuhg ri '433333 iru d suhplxp ri 'S.1 Dvvxph wkh iroorz0
lqj pruwdolw| udwhv/ d 9( s1d1 hhfwlyh lqwhuhvw udwh/ lqlwldo h{shqvhv ri 318( ri wkh
vxp lqvxuhg dqg uhqhzdo h{shqvhv ri '433 shu suhplxp sd|phqw +gdwd lv dv iru wkh
suhylrxv h{dpsohv,1
Djh ^%
53 31334<5
54 31334;4
55 3133493
56 313346;
57 313344;
Ghwhuplqh wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| iru wklv whup lqvxudqfh dv
dw wkh hqg ri hdfk |hdu iru wkh yh |hduv ri wkh srolf| whup xvlqj d uhfxuvlyh
irupxod1
Vroxwlrq ;143 Wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| iru hdfk djh lv jlyhq
lq wkh wdeoh ehorz
Dfwxduldo Pdqdjhphqw 4;4
Expected
Value of
Age qx
Policy
Liability
20 0.00192 0.00
21 0.00181 -443.68
22 0.00160 -372.80
23 0.00138 -276.43
24 0.00118 -152.05
0.00
zkhuh zh kdyh dovr lqfoxghg wkh lqlwldo h{shqvhv iru wkh srolf|1
4;5 Olih Lqvxudqfh
Lq wklv fdvh zh vhh wkdw wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| lv qhjdwlyh1 Wklv
phdqv wkdw wkh oldelolw| lv hhfwlyho| dq dvvhw iru wkh olih lqvxudqfh frpsdq|1
Wkh uhdvrq wkdw lw lv dq dvvhw lv wzrirog1 Wkh uvw uhdvrq lv wkdw wkh lqlwldo
h{shqvhv duh lqfxuuhg dw wkh frpphqfhphqw ri wkh srolf| exw duh uhsdlg rxw ri
wkh suhplxpv ryhu yh |hduv1
Wklv lv wuhdwhg dv d ordq wr wkh srolf|kroghu dqg wkh dprxqw ri xqsdlg lqlwldo
h{shqvhv lv wdnhq lqwr dffrxqw dv dq dvvhw lq wkh ydoxh ri wkh srolf| oldelolw|1
Hyhq li wkh lqlwldo h{shqvhv duh vhw wr }hur wkh srolf| oldelolw| lv vwloo qhjdwlyh1
Lq wkh wdeoh ehorz wkh ydoxhv duh fdofxodwhg zlwk wkh lqlwldo h{shqvhv vhw wr }hur1
Expected
Value of
Age qx
Policy
Liability
20 0.00192 0.00
21 0.00181 -31.98
22 0.00160 -54.92
23 0.00138 -58.23
24 0.00118 -39.70
0.00
Wkh ydoxhv duh vwloo qhjdwlyh ehfdxvh wkh suredelolw| ri ghdwk lv ghfuhdvlqj ryhu
wklv djh udqjh1 Wkh suhplxp lv ohyho vr wkdw lq wkh hduo| |hduv wkh suhplxp
zloo eh wrr orz frpsduhg wr wkh h{shfwhg frvw ri wkh ghdwk fryhu1 Wkh h{fhvv
frvw ri fodlpv lq wkh hduo| |hduv ri wkh srolf| pxvw eh phw iurp vkduhkroghuv
ixqgv ru iurp rwkhu srolf|kroghu ixqgv1 Lw lv uhfryhuhg odwhu lq wkh srolf| whup
zkhq wkh suhplxp h{fhhgv wkh frvw ri ghdwk fryhu1 Wkxv wklv lv olnh d ordq wr
wkh srolf|kroghuv1
Lqvxudqfh ohjlvodwlrq grhv qrw xvxdoo| doorz olih lqvxudqfh frpsdqlhv wr wuhdw d
qhjdwlyh oldelolw| ydoxh dv dq dvvhw1 Wklv lv vlpso| ehfdxvh wkhuh lv qr jxdudqwhh
wkdw wkh srolf|kroghu zloo sd| wkh odwhu suhplxpv1 Li wkh srolf|kroghu odsvhv
wkh srolf| wkhq wkh| zloo qrw sd| dq| qhjdwlyh srolf| ydoxh wr wkh olih lqvxudqfh
frpsdq|1 Whup lqvxudqfh frqwudfwv gr qrw kdyh vxuuhqghu ydoxhv ru ydoxhv rq
odsvh1 Wkh| fhuwdlqo| gr qrw uhtxluh wkh srolf|kroghu wr sd| dq| xquhfrxshg
lqlwldo h{shqvhv qru dq| h{shfwhg ghdwk fodlpv frvwv wkdw kdyh qrw ehhq fkdujhg
lq wkh ohyho suhplxp1
H{huflvh ;1; Dq lqvxudqfh frpsdq| vhoov 8 |hdu whup lqvxudqfhv rq d 73 |hdu rog
pdoh zlwk d vxp lqvxuhg ri '433333 iru wkh suhplxp ghwhuplqhg xvlqj wkh sulqflsoh
ri htxlydohqfh1 Dvvxph wkh iroorzlqj pruwdolw| udwhv/ d 8( s1d1 hhfwlyh lqwhuhvw
udwh/ lqlwldo h{shqvhv ri 318( ri wkh vxp lqvxuhg dqg uhqhzdo h{shqvhv ri '433 shu
suhplxp sd|phqw +dv iru wkh suhylrxv h{huflvhv,1
Dfwxduldo Pdqdjhphqw 4;6
}i ^%
73 31334:7
74 31334<3
75 313353<
76 3133563
77 3133587
Ghwhuplqh wkh h{shfwhg ydoxh ri wkh srolf| oldelolw| iru wklv whup lqvxudqfh dv
dw wkh hqg ri hdfk |hdu iru wkh yh |hduv ri wkh srolf| whup xvlqj d uhfxuvlyh
irupxod1
lqyhvwphqw lqfrph duh ghwhuplqhg vr wkdw wkh| rffxu dw wkh vdph wlph dqg iru wkh
vdph dprxqw dv wkh h{shfwhg ixwxuh fodlpv dqg h{shqvhv ohvv suhplxpv lq wkh srolf|
oldelolw| fdvk rzv/ wkhq wkh dvvhwv dqg oldelolwlhv duh frqvlghuhg wr eh pdwfkhg1
Lq sudfwlfh lqyhvwphqwv wkdw pdwfk wkh orqj whup fdvk rzv ri dq lqvxudqfh
frpsdqlhv oldelolw| fdvk rzv duh qrw uhdglo| dydlodeoh1 Lq wkhvh fdvhv dq lqyhvw0
phqw vwudwhj| ri lppxql}dwlrq lv xvhg1 Lppxql}dwlrq vhohfwv lqyhvwphqwv vr wkdw wkh
fkdqjh lq wkh ydoxh ri wkh dvvhwv iru d vpdoo fkdqjh ri lqwhuhvw udwhv zloo htxdo wkh
fkdqjh lq wkh ydoxh ri wkh srolf| oldelolwlhv iru wkh vdph vpdoo fkdqjh lq lqwhuhvw udwhv1
Wkh ghwhuplqdwlrq ri wkh lqyhvwphqw srolf| wr pdwfk ru lppxql}h srolf| old0
elolwlhv lv vwxglhg lq pruh ghwdlo lq odwhu dfwxduldo vxemhfwv1
;18 Frqfoxvlrqv
Wklv fkdswhu kdv lqwurgxfhg wkh pdlq irupv ri olih lqvxudqfh srolf| lqfoxglqj wkh
wudglwlrqdo zkroh ri olih dqg hqgrzphqw srolflhv/ whup lqvxudqfh/ dqqxlwlhv dqg wkh
xqexqgohg frqwudfwv vxfk dv lqyhvwphqw dffrxqw dqg xqlyhuvdo olih srolflhv1
Wkh dfwxduldo whfkqltxhv iru ghwhuplqlqj suhplxp udwhv/ srolf| oldelolwlhv dqg
uxlq suredelolwlhv iru d whup lqvxudqfh zhuh lqwurgxfhg1 Lvvxhv vxfk dv surw ordglqjv
dqg lqyhvwphqw vwudwhj| zhuh eulh | phqwlrqhg1
H{ ;15 Zh kdyh
h dg ' &o ' h d& A E% & n o
' h d% n & f % n & n mf : %o
' & ^%
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,%n& _%n&
'
,% ,%n&
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H{ ;16 Wkh h{shfwhg suhvhqw ydoxh lv ghwhuplqhg xvlqj wkh irupxod
[
?3
7 &n E& R% ^%n&
&'f
zlwk V@433/333/ dq lqwhuhvw udwh ri 8( s1d1 dqg wkh rwkhu ydoxhv vkrzq lq wkh wdeoh
ehorz1 Wkh Sure froxpq jlyhv wkh ydoxhv iru & R% ^%n&
Vroxwlrqv wr H{huflvhv 4;8
Age qx k PV Prob
40 0.00174 0 95238.10 0.00174
41 0.00190 1 90702.95 0.00190
42 0.00209 2 86383.76 0.00208
43 0.00230 3 82270.25 0.00229
44 0.00254 4 78352.62 0.00252
Wkh yduldqfh lv
Age qx k Prob PV^2
40 0.00174 0 0.00174 9070294785
41 0.00190 1 0.00190 8227024748
42 0.00209 2 0.00208 7462153966
43 0.00230 3 0.00229 6768393620
44 0.00254 4 0.00252 6139132535
Iljxuh 4
Qrwh wkdw vrph fduh lv uhtxluhg lq fdofxodwlqj wkh yduldqfh vlqfh wkh udqgrp yduldeoh
wdnhv wkh ydoxhv }hur diwhu wkh h{slu| ri wkh whup dqg lw zrxog eh qhfhvvdu| wr doorz
iru wkhvh }hur ydoxhv li wkh vwdqgdug irupxod iru yduldqfh zdv xvhg1
H{ ;17 Wkh h{shfwhg suhvhqw ydoxh ri suhplxpv ri '4 s1d1 sd|deoh lq dgydqfh lv
ghwhuplqhg xvlqj wkh irupxod
[
?3
& E& R%
&'f
4;9 Olih Lqvxudqfh
Age qx k PV kp20
40 0.00174 0 1.000000 1.000000
41 0.00190 1 0.952381 0.998260
42 0.00209 2 0.907029 0.996363
43 0.00230 3 0.863838 0.994281
44 0.00254 4 0.822702 0.991994
H{ ;18 Wkh surjudp qhhgv wr lqsxw ydoxhv ri 7/ / % dqg ? iurp d oh ru wkh nh|erdug
D ohqdph iru wkh pruwodlw| udwhv vkrxog eh lqsxw dqg wkh ^% ydoxhv uhdg iurp wklv oh
ru wdeoh1 Wkh uhfxuvlyh dssurdfk vwduwv zlwk wkh h{shfwhg ydoxh htxdo wr }hur iru wkh
roghvw djh dqg wkhq vwhsv edfnzdugv rqh djh dw d wlph wr wkh suhvhqw gdwh1 D gr orrs
fdofxodwhv wkh h{shfwhg suhvhqw ydoxh ri fodlpv sd|phqwv e| glvfrxqwlqj e| rqh shulrg
dqg pxowlso|lqj e| wkh suredelolw| ri vxuylydo1
H{ ;19 Wkh sulqflsoh ri htxlydohqfh htxdwhv wkh h{shfwhg suhvhqw ydoxh ri suhplxpv
wr wkh h{shfwhg suhvhqw ydoxh ri fodlpv dqg h{shqvhv1 Zh kdyh
Vr wkdw
bf2f n Dff
' n ff
eD2be.
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Wkh uhtxluhg suredelolw| lv wkh suredelolw| wkdw wrwdo fodlpv A h{fhhgv wkh suhplxp
lqfrph soxv fdslwdo1
Zh uhtxluh
Li zh glylgh e| wkh vxp lqvxuhg ri hdfk srolf| zh uhtxluh wkh suredelolw| wkdw
2c 2ffc fff n
h : fff
ffc fff
Vroxwlrqv wr H{huflvhv 4;:
H{ ;1; Xvlqj wkh uhfxuuhqfh irupxod zh jhw wkh iroorzlqj ydoxhv iru wkh h{shfwhg
ydoxh ri wkh srolf| oldelolw|1
Expected
value of
policy
Age qx liability
40 0.00174 0.00
41 0.00190 -374.37
42 0.00209 -258.30
43 0.00230 -155.25
44 0.00254 -67.89
0.00
Expected
value of
policy
Age qx liability
40 0.00174 0.00
41 0.00190 35.44
42 0.00209 56.69
43 0.00230 60.03
44 0.00254 42.50
0.00
Qrz wkh ydoxhv duh srvlwlyh1 Wklv lv zkdw zh zrxog qrupdoo| h{shfw vlqfh wkh ulvn lq
lqfuhdvlqj iru d ohyho suhplxp1
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phdvxuhv wkh h{fhvv ri wkh ghdwk ulvn frvw ryhu wkh ixwxuh suhplxpv dqg odwhu lq wkh
srolf| wkh suhplxp lv orzhu wkdq wkh ghdwk ulvn frvw1 Wkxv wkh srolf| oldelolw| lv
srvlwlyh hduo| lq wkh whup1
Wkh hhfw ri wkh lqlwldo h{shqvhv lv wkdw wklv fdq eh frqvlghuhg olnh d ordq wr wkh
srolf|kroghu wkdw lv uhsdlg iurp wkh suhplxp rqo| li wkh srolf|kroghu sd|v doo ri wkh
suhplxpv1 Wkh ordq lv iru '833 dqg wkh ydoxh ri wkh srolf| oldelolw| idoov e| wkh h{shfwhg
ydoxh ri wkh xqsdlg lqlwldo h{shqvhv vlqfh wkh uhsd|phqw ri wkhvh lqlwldo h{shqvhv lv
lqfoxghg dv sduw ri wkh suhplxp1 Wklv ordq lv qrw uhsdlg li wkh srolf|kroghu fhdvhv wr
sd| wkh suhplxpv gxulqj wkh whup ri wkh srolf| vr zh vkrxog eh fduhixo derxw wuhdwlqj
d qhjdwlyh srolf| oldelolw| dv dq dvvhw1
Fkdswhu <
SURSHUW\ DQG FDVXDOW\ LQVXUDQFH
wr lqwurgxfh wkh pdlq irupv ri qrq0olih lqvxudqfh surgxfwv dqg kljkoljkw wkh
glhuhqfhv ehwzhhq olih dqg qrq0olih surgxfwv
oldelolw| iru gdpdjh ru orvv wr wkh surshuw| ri rwkhuv +wklug sduw| surshuw|, dqg
oldelolw| wr wklug sduwlhv iru lqmxu|1
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lq Dxvwudold wklug sduw| prwru yhklfoh lqvxudqfh lv frpsxovru| dv lv zrunhuv* frpshq0
vdwlrq1 Wkhvh fodvvhv ri lqvxudqfh wkdw duh uhtxluhg e| odz duh riwhq uhihuuhg wr dv
vwdwxwru| fodvvhv ri exvlqhvv1 Wkh| duh xvxdoo| oldelolw| fodvvhv ri exvlqhvv dqg riwhq
lqyroyh wkh vhwwohphqw ri fodlpv iru pdq| |hduv lqwr wkh ixwxuh dulvlqj iurp lqmxu| wr
shuvrqv1
<1514 Exloglqj dqg Frqwhqwv Lqvxudqfh
Wkhvh srolflhv fryhu orvv wr exloglqjv dqg frqwhqwv dulvlqj iurp uh/ vwrup/ hduwktxdnh/
zdwhu gdpdjh/ pdolflrxv gdpdjh dqg exujodu|1 Wkh fryhu iru exloglqjv dqg frqwhqwv
fdq xvxdoo| eh sxufkdvhg vhsdudwho|1 Wkh srolf| zruglqj ghqhv wkh vshflf hyhqwv
fryhuhg dqg/ dv zhoo dv wkh orvv iurp uh/ vwrup/ exujodu|/ riwhq lqfoxgh euhdndjh ri
jodvv/ ixvlrq ri prwruv dqg d udqjh ri rwkhu fdxvhv1 Wkh srolflhv riwhq gr qrw surylgh
fryhudjh iru rrg gdpdjh1 Wkhvh srolflhv dovr lqfoxgh shuvrqdo oldelolw| lqvxudqfh ri
d plqlpxp ri '5 ploolrq1
<1515 Prwru Lqvxudqfh
Wkhuh duh d udqjh ri glhuhqw fryhudjhv dydlodeoh iru prwru yhklfohv1 Frpsuhkhqvlyh
prwru yhklfoh lqvxudqfh surylghv fryhu iru orvv ru gdpdjh gxh wr dfflghqw wr wkh
lqvxuhg yhklfoh1 Lw dovr surylghv fryhudjh iru oldelolw| iru gdpdjh wr wkh surshuw| ri
wklug sduwlhv1
Frpsxovru| wklug sduw| ru FWS fryhuv erglo| lqmxu| fdxvhg e| prwru yhklfohv1
Lw lv uhtxluhg e| odz lq doo Vwdwhv dqg Whuulwrulhv lq Dxvwudold dqg fryhuv yhklfoh rzqhuv
iru wkh oldelolw| iru gdpdjh wr wkh gulyhu ru wklug sduwlhv1
Wklug sduw| surshuw| gdpdjh lqvxudqfh lv dovr dydlodeoh wr fryhu oldelolw| iru
gdpdjh wr wkh surshuw| ri rwkhuv fdxvhg e| d prwru yhklfoh1
<1516 Sxeolf dqg Surgxfwv Oldelolw|
Wklv lqvxudqfh fryhuv fodlpv pdgh e| wklug sduwlhv iru lqmxu| ru gdpdjh wr surs0
huw| iru zklfk wkh lqvxuhg lv ohjdoo| oldeoh h{foxglqj fryhu vxfk dv wkdw uhtxluhg iru
prwru yhklfohv1 Surgxfwv oldelolw| lqvxudqfh fryhuv fodlpv dulvlqj iurp wkh xvh ri d
pdqxidfwxuhu*v surgxfwv1
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Lq Dxvwudold/ ohjlvodwlrq uhtxluhv hpsor|huv wr fryhu wkhlu hpsor|hhv iru dfflghqwdo
lqmxu| dw zrun/ zkloh wudyhoolqj wr dqg iurp zrun ru iru fhuwdlq zrun uhodwhg looqhvvhv1
Wkhuh duh erwk vwdwxwru| ehqhwv/ uhtxluhg e| odz/ dqg frpprq odz ehqhwv li wkh
hpsor|hh fdq suryh qhjoljhqfh e| wkh hpsor|hu1 Vrph hpsor|huv duh deoh wr vhoi lqvxuh
wkhlu zrunhuv* frpshqvdwlrq ulvn1 Vhoi lqvxudqfh zrxog eh xvhg iru d odujh hpsor|hu
zkr fdq srro d odujh jurxs ri vlplodu ulvnv dqg qdqfh wkh fodlpv frvwv iurp wkhlu rzq
uhvrxufhv1 Vhoi lqvxudqfh fdq dovr surylgh dq lqfhqwlyh iru wkh hpsor|hu wr frqwuro
fodlpv frvwv wkurxjk ulvn pdqdjhphqw sudfwlfhv lq wkh frpsdq|1
Qrq0olih Lqvxudqfh Surgxfwv 4<4
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Death and
Age Resignation
Disability
20 0.16650 0.00090
21 0.16020 0.00089
22 0.15390 0.00083
23 0.14760 0.00075
24 0.14130 0.00067
25 0.13500 0.00063
26 0.12870 0.00063
27 0.12240 0.00064
28 0.11610 0.00066
29 0.10980 0.00068
30 0.10350 0.00072
31 0.09720 0.00077
32 0.09090 0.00082
33 0.08460 0.00087
34 0.07830 0.00093
35 0.07200 0.00101
36 0.06795 0.00110
37 0.06390 0.00121
38 0.05985 0.00132
39 0.05580 0.00146
40 0.05175 0.00163
41 0.04770 0.00183
42 0.04365 0.00205
43 0.03960 0.00231
44 0.03555 0.00262
45 0.03150 0.00297
46 0.02745 0.00338
47 0.02340 0.00385
48 0.01935 0.00439
49 0.01530 0.00501
50 0.01125 0.00572
51 0.00900 0.00655
52 0.00675 0.00751
53 0.00450 0.00860
54 0.00225 0.00983
55 0.00000 0.01123
56 0.00000 0.01282
57 0.00000 0.01462
58 0.00000 0.01665
59 0.00000 0.01895
60 0.00000 0.02154
61 0.00000 0.02443
62 0.00000 0.02784
63 0.00000 0.03185
64 0.00000 0.03659
65 0.00000 0.04215
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4.00% 4.08% 17.33
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22 1074.96 5.80 6984.76 6444.39 63854.43 9.14
23 871.43 4.43 5904.01 5466.08 57410.04 9.72
24 710.48 3.37 5028.15 4671.23 51943.96 10.33
25 582.43 2.72 4314.31 4021.73 47272.73 10.96
26 479.94 2.35 3729.16 3488.01 43251.00 11.60
27 397.42 2.08 3246.86 3047.12 39762.99 12.25
28 330.58 1.88 2847.37 2681.14 36715.87 12.89
29 276.14 1.71 2514.91 2375.99 34034.73 13.53
30 231.54 1.61 2237.06 2120.49 31658.74 14.15
31 194.78 1.54 2003.92 1905.76 29538.25 14.74
32 164.31 1.48 1807.59 1724.70 27632.50 15.29
33 138.90 1.43 1641.80 1571.64 25907.80 15.78
34 117.57 1.40 1501.48 1442.00 24336.16 16.21
35 99.54 1.40 1382.51 1332.05 22894.17 16.56
36 87.08 1.41 1281.58 1237.33 21562.12 16.82
37 76.24 1.44 1193.08 1154.24 20324.79 17.04
38 66.76 1.47 1115.40 1081.29 19170.55 17.19
39 58.43 1.53 1047.17 1017.19 18089.26 17.27
40 51.09 1.61 987.21 960.86 17072.07 17.29
41 44.58 1.71 934.51 911.37 16111.21 17.24
42 38.77 1.82 888.23 867.93 15199.83 17.11
43 33.57 1.96 847.64 829.87 14331.90 16.91
44 28.87 2.13 812.11 796.61 13502.03 16.63
45 24.61 2.32 781.11 767.65 12705.42 16.27
46 20.70 2.55 754.19 742.56 11937.76 15.83
47 17.10 2.81 730.94 720.98 11195.20 15.32
48 13.76 3.12 711.02 702.58 10474.22 14.73
49 10.62 3.48 694.14 687.09 9771.65 14.08
50 7.65 3.89 680.04 674.27 9084.56 13.36
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52 4.44 4.94 658.11 653.41 7746.98 11.77
53 2.92 5.58 648.72 644.47 7093.57 10.93
54 1.44 6.29 640.22 636.36 6449.10 10.07
55 0.00 7.10 632.49 628.94 5812.74 9.19
56 0.00 8.02 625.39 621.38 5183.80 8.29
57 0.00 9.03 617.37 612.86 4562.43 7.39
58 0.00 10.13 608.34 603.28 3949.57 6.49
59 0.00 11.34 598.21 592.55 3346.29 5.59
60 0.00 12.64 586.88 580.56 2753.75 4.69
61 0.00 14.03 574.24 567.22 2173.19 3.78
62 0.00 15.60 560.21 552.41 1605.97 2.87
63 0.00 17.35 544.61 535.94 1053.56 1.93
64 0.00 19.29 527.27 517.62 517.62 0.98
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21 5.47
22 5.77
23 6.09
24 6.42
25 6.77
26 7.13
27 7.51
28 7.89
29 8.27
30 8.66
31 9.04
32 9.40
33 9.75
34 10.07
35 10.35
36 10.59
37 10.82
38 11.01
39 11.18
40 11.31
41 11.41
42 11.46
43 11.47
44 11.44
45 11.34
46 11.20
47 11.00
48 10.74
49 10.42
50 10.05
51 9.61
52 9.14
53 8.63
54 8.08
55 7.49
56 6.86
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