Life Contingencies II : Solutions Exam 2021

Problem 1 :
𝑙𝑥+𝑘 100 − 𝑥 − 𝑘 40 − 𝑘 30 − 𝑘
𝑘𝑝𝑥 = = → 𝑘𝑝60 = 𝑒𝑡 𝑘𝑝70 = (3𝑝𝑡𝑠)
𝑙𝑥 100 − 𝑥 40 30

𝑙𝑥+𝑘+1 100 − 𝑥 − 𝑘 − 100 + 𝑥 + 𝑘 + 1 1

𝑞𝑥+𝑘 = 1 − = = (1𝑝𝑡𝑠)
𝑙𝑥+𝑘 100 − 𝑘 100 − 𝑥 − 𝑘

30−1

𝐴𝑃𝑉 = 1000 ∑ 𝑣 𝑘+1 𝑘𝑝𝑥𝑦 ∙ 𝑞𝑥+𝑘 ∙ 𝑞𝑦+𝑘 (4𝑝𝑡𝑠)

𝑘=0

30−1
40 − 𝑘 30 − 𝑘 1 1
= 1000 ∑ 𝑣 𝑘+1 ∙ ∙ ∙
40 30 30 − 𝑘 40 − 𝑘
𝑘=0

29
1000 5
= ∑ 𝑣 𝑘+1 = ∙ 𝑎30|
̅̅̅̅̅
30 ∙ 40 6
𝑘=0

= 12.81037586 (2𝑝𝑡𝑠)

Problem 2

(𝑗) (𝜏) (𝑗) (𝜏) (𝜏) (1) (2)

𝑑𝑥 = 𝑙𝑥 ∙ 𝑞𝑥 (1𝑝𝑡) ; 𝑙𝑥+1 = 𝑙𝑥 − 𝑑𝑥 − 𝑑𝑥 (1𝑝𝑡)

(𝜏) (1)
𝑙41 = 1000 − 60 − 55 = 885 (1𝑝𝑡) 𝑑41 = 885 − 750 − 70 = 65 (1𝑝𝑡)

(1) 65 (2) 70
→ 𝑞41 = = 0.073446328 (1𝑝𝑡) 𝑞41 = = 0.079096045 (1𝑝𝑡)
885 885

(𝜏) (1) (2) (𝜏)

𝑞41 = 𝑞41 + 𝑞41 = 0.152542373 (1𝑝𝑡) 𝑝41 = 0.847457627

Life Contingencies II : Exam 2021 Solutions 1

 ′(𝑗) (𝜏) (𝑗) (𝜏) (𝜏) (1) (𝜏)
′(1)
→ 1 − 𝑞𝑥 = (𝑝𝑥 )𝑞𝑥 ⁄𝑞𝑥 (2𝑝𝑡𝑠) → 𝑞41 = 1 − (𝑝41 )𝑞41 ⁄𝑞41 = 0.076599417 (1𝑝𝑡)

Problem 3
1−𝑑∙𝑎̈ 40
𝐺 ∙ 𝑎̈ 40:20| ⏞
̅̅̅̅̅ = 1000 ∙ 𝐴40 + 0.6𝐺 + 0.05𝐺𝑎̈ 40:20|
̅̅̅̅̅ + 10 + 2𝑎̈ 40

1 𝑝𝑡 𝑓𝑜𝑟 𝑒𝑎𝑐ℎ 𝑒𝑙𝑒𝑚𝑒𝑛𝑡 → 6 𝑝𝑡𝑠

1000 ∙ (1 − 𝑑 ∙ 𝑎̈ 40 ) + 10 + 2𝑎̈ 40
𝐺= = 38.95104898 (1𝑝𝑡)
0.95𝑎̈ 40:20|
̅̅̅̅̅ − 0.6

1000 ∙ (1 − 𝑑 ∙ 𝑎̈ 40 )
𝑛𝑒𝑡 𝑃𝑟𝑒𝑚𝑖𝑢𝑚 = 𝑃 = = 31.25 (2𝑝𝑡𝑠)
𝑎̈ 40:20|
̅̅̅̅̅

𝐺 − 𝑃 = 38.95104898 − 31.25 = 7.70104898 (1𝑝𝑡)

Problem 4
0 ℎ ≤ 20
𝑏ℎ+1 = {
1000 ℎ > 20

ℎ𝑉 = 𝑣 ∙ 𝑞𝑥+ℎ ∙ 𝑏ℎ+1 − 𝜋 + 𝑣 ∙ 𝑝𝑥+ℎ ∙ ℎ+1𝑉 (2𝑝𝑡𝑠)

et
(1 + 𝑖)𝑠
ℎ+𝑠𝑉 = ∙ [( ℎ𝑉 + 𝜋 ) ∙ (1 − 𝑠) + 𝑣 ∙ 𝑝𝑥+ℎ ∙ ℎ+1𝑉 ∙ 𝑠] (2𝑝𝑡𝑠)
𝑠𝑝𝑥+ℎ

=0 252
⏞
9𝑉 = 𝑣 ∙ 𝑞𝑥+9 ∙ 𝑏10 − 𝜋 + 𝑣 ∙ 𝑝𝑥+9 ∙ 10𝑉 (1𝑝𝑡) →
⏞
9𝑉 + 𝜋 = 𝑣 ∙ 𝑝𝑥+9 ∙ 10𝑉 (1) (1𝑝𝑡𝑠)

=252 →(1)
(1.1)0.5
9.5𝑉 = ∙ [252 ∙ 0.5 + ⏞
𝑣 ∙ 𝑝𝑥+9 ∙ 10𝑉 ∙ 0.5] (1𝑝𝑡)
1 − 0.5 𝑞𝑥+9

1.10.5
1− ∙ 252
9.5𝑉
= 𝑞𝑥+9 = 0.017999027 (2𝑝𝑡𝑠)
0.5

Life Contingencies II : Exam 2021 Solutions 2

 9𝑉 +𝜋 252
10𝑉 = = = 282.2807794 (1𝑝𝑡)
𝑣 ∙ 𝑝𝑥+9 𝑣 ∙ (1 − 0.017999027)

Problem 5

𝑞𝑥𝑦
̅̅̅̅ = 𝑃𝑟[𝑇(𝑥) ≤ 1] ∙ 𝑃𝑟[𝑇(𝑦) ≤ 1]

1 1
= (∫ 𝑡𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡) ∙ (∫ 𝑡𝑝𝑦 𝜇𝑦+𝑡 𝑑𝑡) (3𝑝𝑡𝑠)
0 0

1 1
−0.02𝑡 2 2
= (∫ 0.04 ∙ 𝑡 ∙ 𝑒 𝑑𝑡) ∙ (∫ 0.05 ∙ 𝑡 ∙ 𝑒 −0.025𝑡 𝑑𝑡)
0 0

= 0.000488896 (1𝑝𝑡)
(4𝑝𝑡𝑠) 𝑟𝑒𝑠𝑜𝑙𝑢𝑡𝑖𝑜𝑛 𝑜𝑓 𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑙𝑠 (2𝑝𝑡𝑠) 𝑓𝑜𝑟 𝑡𝑝𝑥 𝑎𝑛𝑑 𝑡𝑝𝑦

Problem 6
(𝜏) (1) (2)
𝑠𝑞𝑥 = 𝑠𝑞𝑥 + 𝑠𝑞𝑥 = 0.1 ∙ 𝑠 3 + 0.2 ∙ 𝑠 2 (3𝑝𝑡𝑠)

𝑑 (𝑗)
(𝜏) (𝑗) 𝑑 (𝑗) (𝑗) 𝑑𝑠 𝑠𝑞𝑥
𝑠𝑝𝑥 ∙ 𝜇𝑥+𝑠 = 𝑞 → 𝜇𝑥+𝑠 = (3𝑝𝑡𝑠)
𝑑𝑠 𝑠 𝑥 𝑠𝑝𝑥
(𝜏)

𝑑 (1)
(1) 𝑑𝑠 𝑠𝑞𝑥 0.3 ∙ 𝑠 2
→ 𝜇𝑥+𝑠 = = (3𝑝𝑡𝑠)
𝑠𝑝𝑥
(𝜏) 1 − 0.1 ∙ 𝑠 3 − 0.2 ∙ 𝑠 2

(1) 0.3 ∙ 0.52

→ 𝜇𝑥+0.5 = = 0.08 (1𝑝𝑡)
1 − 0.1 ∙ 0.53 − 0.2 ∙ 0.52

Problem 7

90 = (𝑥) = 𝐾𝑒𝑣𝑖𝑛 ; 90 = (𝑦) = 𝐾𝑖𝑟𝑎 ; 𝑝90 = 1 − 𝑞90 = 0.9

𝐾𝑖𝑟𝑎 ∶ 𝑝90 = 𝑒 −𝜇 → 𝜇 = − ln(𝑝90 ) = 0.105360526 (2𝑝𝑡𝑠)

𝑞 𝑥:𝑦
2 0.005087785
Pr[𝐾𝑖𝑟𝑎 𝑑𝑖𝑒𝑠 𝑓𝑖𝑟𝑠𝑡 | 𝑡ℎ𝑒𝑦 𝑏𝑜𝑡ℎ 𝑑𝑖𝑒 𝑤𝑖𝑡ℎ𝑖𝑛 𝑎 𝑦𝑒𝑎𝑟] = = = 0.5087785 (1𝑝𝑡)
𝑞𝑥:𝑦
̅̅̅̅̅ 0.01

Life Contingencies II : Exam 2021 Solutions 3

with

𝑞𝑥:𝑦
̅̅̅̅̅ = 𝑞𝑥 ∙ 𝑞𝑦 = 0.1 ∙ 0.1 = 0.01 (2𝑝𝑡𝑠)

1 1
−𝜇𝑠 ) (3𝑝𝑡𝑠)
𝑞 𝑥:𝑦
2 = ∫ 𝑠𝑞𝑦 ∙ 𝑠𝑝𝑥 𝜇𝑥+𝑠 𝑑𝑠 = ∫(1 − 𝑒 ∙ 0.1 𝑑𝑠 = 0.005087785
0 0

𝑈𝐷𝐷
𝑠𝑝𝑥 𝜇𝑥+𝑠 ⏞ 𝑞𝑥 = 0.1 (2𝑝𝑡𝑠)
=
Problem 8

ℎ𝑉 = 𝑣 ∙ 𝑞𝑥+ℎ ∙ 𝑏ℎ+1 − 𝜋 + 𝑣 ∙ 𝑝𝑥+ℎ ∙ ℎ+1𝑉 → ℎ+1𝑉 ∙ 𝑣 = ( ℎ𝑉 + 𝜋) − (𝑏ℎ+1 − ℎ+1𝑉 )𝑞𝑥+ℎ ∙ 𝑣

(2𝑝𝑡𝑠)

35𝑉 ∙
⏟ 𝑣 = ( 34𝑉 + 𝜋) − ( 𝑏
⏟35 − 35𝑉 ) 𝑞𝑥+34 ∙ 𝑣 → 1000 ∙ 𝑣 = 943.51 + 𝜋
1000 1000−1000=0

𝜋 = 1000 ∙ 𝑣 − 943.51 (3𝑝𝑡𝑠)

33𝑉 = 𝑣 ∙ 0.5 ∙ 1000 − ⏟

𝜋 + 𝑣 ∙ (1 − 0.05) ∙ 34𝑉
1000∙𝑣−943.51

943.51 − 33𝑉
𝑣= = 0.975673384 (3𝑝𝑡𝑠)
1000 − 0.95 34𝑉 − 50

→ 𝜋 = 1000 ∙ 0.975673384 − 943.41 = 32.1633842 (1𝑝𝑡)

32𝑉 = 𝑣 ∙ 0.04 ∙ 1000 − 32.1633842 + 𝑣 ∙ 0.96 ∙ 33𝑉 → 32𝑉 = 841.5560339 (1𝑝𝑡)

Life Contingencies II : Exam 2021 Solutions 4

Problem 9

10𝐸𝑥 ∙ 𝑎̈ 𝑥+10
𝑊𝑒 𝑘𝑛𝑜𝑤 𝑡ℎ𝑎𝑡 ∶ 𝑃 = 800 = ∙ 1000 (3𝑝𝑡𝑠)
𝑎̈ 𝑥:10|
̅̅̅̅̅

1
𝐺 ∙ 𝑎̈ 𝑥:10| ̅̅̅̅̅ + 10.5 ∙ 10𝐸𝑥 ∙ 𝑎̈ 𝑥+10 + 10𝐸𝑥 ∙ 𝑎̈ 𝑥+10 ∙ 1000 (4𝑝𝑡𝑠)
̅̅̅̅̅ = 0.05𝐺 ∙ 𝑎̈ 𝑥:10| ‖∙
𝑎̈ 𝑥:10|
̅̅̅̅̅

10.5 ∙ 0.8 + 800

𝐺 − 0.05𝐺 = 10.5 ∙ 0.8 + 800 (2𝑝𝑡𝑠) → 𝐺= = 850.9473684 (1𝑝𝑡)
0.95

Problem 10

1 𝑖𝑓 𝑑𝑒𝑎𝑡ℎ 𝑏𝑦 𝑎𝑐𝑐𝑖𝑑𝑒𝑛𝑡𝑎𝑙 𝑚𝑒𝑎𝑛𝑠 2000 𝑖𝑓 𝑗 = 1

(𝑗)
𝑗={ 𝐵𝑥+𝑡 = {
2 𝑖𝑓 𝑑𝑒𝑎𝑡ℎ 𝑏𝑦 𝑜𝑡ℎ𝑒𝑟 𝑚𝑒𝑎𝑛 1000 𝑖𝑓 𝑗 = 2

1) APV Benefits&Expenses at t=0:

∞ ∞
(𝜏) (𝜏) (𝜏) (1)
𝐴𝑃𝑉 𝐵𝑒𝑛𝑒𝑓𝑖𝑡𝑠 = 𝐴̅ = 1000 ∙ ∫ 𝑣 𝑡 ∙ 𝑡𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡 + 1000 ∫ 𝑣 𝑡 ∙ 𝑡𝑝𝑥 𝜇𝑥+𝑡 𝑑𝑡
0 0

∞ ∞
= 1000 ∙ ∫ 𝑒 −0.05𝑡 ∙ 0.044 ∙ 𝑒 −0.044𝑡 𝑑𝑡 + 1000 ∙ ∫ 𝑒 −0.05𝑡 ∙ 0.004 ∙ 𝑒 −0.044𝑡
0 0

1000 ∙ 0.044 1000 ∙ 0.004

= +
0.05 + 0.044 0.05 + 0.044

= 510.6382979 (3𝑝𝑡𝑠)

𝐴𝑃𝑉 𝑆𝑒𝑡𝑡𝑙𝑒𝑚𝑒𝑛𝑡𝑠 = 0.05 ∙ 𝐴̅ = 25.5319149 (1𝑝𝑡)

∞
(𝜏) 3
𝐴𝑃𝑉 𝑀𝑎𝑖𝑛𝑡𝑒𝑛𝑎𝑛𝑐𝑒 = 3 ∙ 𝑎̅𝑥 = 3 ∙ ∫ 𝑣 𝑡 𝑡𝑝𝑥 𝑑𝑡 = = 31.91489362 (2𝑝𝑡𝑠)
0 0.05 + 0.044

→ 𝐴𝑃𝑉 𝑒𝑥𝑝𝑒𝑛𝑠𝑒𝑠 = 50 + 𝐴𝑃𝑉 𝑆𝑒𝑡𝑡𝑙𝑒𝑚𝑒𝑛𝑡𝑠 + 𝐴𝑃𝑉 𝑀𝑎𝑖𝑛𝑡𝑒𝑛𝑎𝑛𝑐𝑒 = 107.4468085

Life Contingencies II : Exam 2021 Solutions 5

 𝐴𝑃𝑉 𝐵𝑒𝑛𝑒𝑓𝑖𝑡𝑠 & 𝐸𝑥𝑝𝑒𝑛𝑠𝑒𝑠 = 510.6382979 + 107.4468085

= 618.0851064 (1𝑝𝑡)

100
2) APV Premiums at t=0 : 𝐺 ∙ 𝑎̅𝑥 = 0.05+0.044 = 1063.829787 (2𝑝𝑡𝑠)

➔ 𝐸[ 0𝐿𝑒 ] = 618.0851064 − 1063.829787 = −445.7446806 (1𝑝𝑡)

Life Contingencies II : Exam 2021 Solutions 6