Scribd
Upload
105 views16 pages

Lecture8 SIQ3003 PDF

The document is a lecture on life insurance and annuity models for multiple lives. It discusses key concepts like the expected present value of benefits for joint and last survivor policies. It provides examples of calculating these values for policies on two independent lives. It also discusses important relationships between survival functions, expected present values, and covariances for multiple life models. The lecture concludes with an example of calculating the covariance of times to a joint event.

Uploaded by

Fion Tay
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
105 views16 pages

Lecture8 SIQ3003 PDF

The document is a lecture on life insurance and annuity models for multiple lives. It discusses key concepts like the expected present value of benefits for joint and last survivor policies. It provides examples of calculating these values for policies on two independent lives. It also discusses important relationships between survival functions, expected present values, and covariances for multiple life models. The lecture concludes with an example of calculating the covariance of times to a joint event.

Uploaded by

Fion Tay
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 16

Life Insurance for Multiple Lives Model

Life Annuity for Multiple Lives Model


Some important relationships

Actuarial Mathematics II

Lecture 8

Dr. Shaiful Anuar


Institute Of Mathematical Sciences
University of Malaya

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Life Annuity for Multiple Lives Model
Some important relationships

Table of contents

1 Life Insurance for Multiple Lives Model


Example
Example

2 Life Annuity for Multiple Lives Model


Example
Example
Example

3 Some important relationships


Example

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Example
Life Annuity for Multiple Lives Model
Example
Some important relationships

Life Insurance for Multiple Lives

Life insurance concepts for multiple lives follows closely from


the single life.
d Āxy
For instance, Āxy = 1 − δāxy and therefore Pxy = 1−Āxy
.
Some of the common properties relating the joint-life and
last-survivor statuses as well as the contingent lives for
insurance are given below :
(i) Axy + Axy = Ax + Ay
(ii) Āxy + Ā
R xy = Āx + Āy
1 ∞ t
(iii) Āxy = 0 v t px t py µx+t dt
R∞
(iv) Ā2xy = 0 v t t px (1 − t py )µx+t dt
1
(v) Āx = Āxy + Ā2xy

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Example
Life Annuity for Multiple Lives Model
Example
Some important relationships

Note :
1 is the expected present value of benefit payable on the
Āxy
death of (x) provided that (x) dies before (y).

Ā2xy is the expected present value of benefit payable on the


death of (x) provided that (x) dies after (y).

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Example
Life Annuity for Multiple Lives Model
Example
Some important relationships

Example 1
Show that Āxy = Āx + Āy − Āxy

Solution

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Example
Life Annuity for Multiple Lives Model
Example
Some important relationships

Example 2
Consider the following :
(i) (30) and (50) are independent lives, each subject to a
constant force of mortality µ + 0.05
(ii) δ = 0.03
Calculate Ā130:50 .

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Example
Life Annuity for Multiple Lives Model
Example
Some important relationships

Solution

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model Example
Life Annuity for Multiple Lives Model Example
Some important relationships Example

Life Annuity for Multiple Lives

Life annuity for multiple lives can be challenging as it involves


a stream of payments.
Several approaches can be used to solve the problems
involving annuities and it is best described using relevant
examples.
Some of the common properties relating the joint-life and
last-survivor statuses as well as contingent lives for annuities
are given below :
(i) äxy + äxy = äx + äy
(ii) āxy + āxy = āx + āy
(iii) āx|y = āy − āxy
Note: āx|y - expected present value of an annuity which pays
upon the death of (x) to (y), so long as (y) is alive.

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model Example
Life Annuity for Multiple Lives Model Example
Some important relationships Example

Example 3
Show that āxy = āx + āy − āxy .

Solution

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model Example
Life Annuity for Multiple Lives Model Example
Some important relationships Example

Example 4
Consider a temporary life annuity-immediate on two independent
lives (30) and (60).
(i) Mortality follows ILT.
(ii) i = 0.06
Calculate a30:40:10 .

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model Example
Life Annuity for Multiple Lives Model Example
Some important relationships Example

Solution

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model Example
Life Annuity for Multiple Lives Model Example
Some important relationships Example

Example 5
A continuous two-life annuity pays
(i) 100 while both (30) and (40) are alive
(ii) 70 while (30) is alive but (40) is dead
(iii) 50 while (40) is alive but (30) is dead
The APV of this annuity 1180. Continuous single life annuities
paying 100 per year are available for (30) and (40) with APV’s of
1200 and 1000 respectively.
Calculate the APV of a continuous two-life annuity that pays 100
while at least one of them is alive.

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model Example
Life Annuity for Multiple Lives Model Example
Some important relationships Example

Solution

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Life Annuity for Multiple Lives Model Example
Some important relationships

Some important relationships

Txy + Txy = Tx + Ty
Txy · Txy = Tx · Ty
Cov (Txy , Txy ) = (e̊x − e̊xy )(e̊y − e̊xy )
Āxy = 1 − δāxy
Āxy = 1 − δāxy
Cov (v Txy , v Txy ) = (Āx − Āxy )(Āy − Āxy )
(Āx −Āxy )(Āy −Āxy )
Cov (āTxy , āTxy ) = δ2

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Life Annuity for Multiple Lives Model Example
Some important relationships

Example 6
Consider the following :
(i) (30) and (50) are independent lives, each subject to a
constant force of mortality µ = 0.05
(ii) δ = 0.03
Calculate Cov (T30:50 , T30:50 ).

Lecture 8 Actuarial Mathematics II


Life Insurance for Multiple Lives Model
Life Annuity for Multiple Lives Model Example
Some important relationships

Solution

Lecture 8 Actuarial Mathematics II

You might also like