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Unformatted text preview: THE UNIVERSITY OF HONG KONG DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE STAT3801 ADVANCED LIFE CONTINGENCIES Unit 5a 2010-11 2 nd semester 5.11 Earned asset shares • Asset share is retrospective gross premium reserve based on actual mortality, interest and expense • For simple n year policy issued to life aged x AS = 0 • For 0 ≤ t ≤ n- 1 t +1 AS = ( t AS + G t- e t )(1 + i t )- q [ x ]+ t ( S t +1- t +1 AS ) t AS is earned asset share at duration t S t is sum insured in year t payable at end of year of death G t is premium payable at start of year t e t is actual expenses incurred at start of year t i t is rate of interest earned in year t q [ x ]+ t is observed mortality among lives aged x + t S&AS: STAT3801 ADVANCED LIFE CONTINGENCIES 2 Asset Shares • Define notion of how policy builds assets and profits • Main advantage is to examine incidence of profits • Can be expanded to include other ancillary benefits taxes, more complex expense structures, and so forth • Primarily used to set premiums by defining profit goal PV(profit) =...
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This note was uploaded on 07/30/2011 for the course STAT 3801 taught by Professor Kc during the Fall '11 term at HKU.
- Fall '11