Determine the value of f stating any assumptions you

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: investigation into mortality covered the period 1 Jan 2006 to 1 Jan 2007, and the following data were recorded for each x and y : dx =no of deaths aged x next birthday at the previous or coincident policy anniversary Py (t )=no of lives on 1 Jan in year 2006 + t with age label y , where y is the age last birthday at entry plus curtate duration 1 2 31/35 Obtain an expression for the central exposed to risk in terms of the available census data that may be used to estimate the force of mortality µx +f . Determine the value of f , stating any assumptions you make. Actuarial Statistics – Module 7: Exposed to risk Examples Policy year rate intervals Solution I 1 The death data and the census data don’t match. Define the consistent census function: Px (t ) =no. of policyholders at time t aged x next birthday at the previous or coincident policy anniversary. and let time 0 = 1 Jan 2006 time 1 = 1 Jan 2007 Assume that Px (t ) varies linearly between time 0 and time 1. Then 1 P (0) + Px (1) c Px (t )dt = x Ex = 2 0 32/35 Actuarial Statistics – Module 7: Exposed to risk Examples Policy year rate intervals Solution II and Px (0) = no. of policyholders at time 0 (1 Jan 2006) aged x next birthday at the previous or coincident policy anniversary = no. of policyholders at time 0 (1 Jan 2006) aged x-1 last birthday at the previous or coincident policy anniversary Since the curtate duration is the whole no. of years that have elapsed since the policy was purchased, we have age last birthday at entry plus curtate duration = age last birthday at the previous 33/35 or coincident policy anniversary Actuarial Statistics – Module 7: Exposed to risk Examples Policy year rate intervals Solution III So Px (0) = no. of policyholders at time 0 (1 Jan 2006) aged x last birthday at the previous or coincident policy anniversary. Therefore, Px (0) = Px −1 (0) and similarly Px (1) = Px −1 (1) so that c Ex = 34/35 Px −1 (0) + Px −1 (1) 2 Actuarial Statistics – Module 7: Exposed to risk Examples Policy year rate intervals Solution IV 2 Since the age label x is determined by reference to the “previous or coincident policy anniversary”, we have a policy year rate interval. The actual age of a person aged x at the start of the rate interval ranges from x − 1 (birthday is at the end of the rate interval) to x (birthday is at the start of the rate interval). Hence the average at the start of the rate interval is 1 1 2 (x − 1 + x ) = x − 2 and the average in the middle of the rate interval is x . Here we assume that birthdays are uniformly distributed between policy anniversaries. As a consequence µ = ˆ dx c Ex estimates µx , and f =0 35/35...
View Full Document

This document was uploaded on 04/03/2014.

Ask a homework question - tutors are online