Syllabus for Exam 2
Friday evening, September 14, 2012
Chapters 1 to 7 of AMLCR
Chapters 1 and 2 of the Supplementary Notes for AMLCR (up to page 17)
www.soa.org/files/edu/edu-2012-spring-mlc-studynotes.pdf
The emphasis will be on benefit reserves (net pr
Three acronyms
AMLCR = Actuarial Mathematics for Life Contingent Risks by D. C. M. Dickson,
M. R. Hardy, and H. R. Waters.
MQR = Models for Quantifying Risk, 4th Edition by R. Cunningham, T.
N. Herzog and R. L. London, ACTEX Publications.
AM = Actuarial M
The exam on September 14 will be held in Room 140 Schaeffer Hall. I shall tell you the time
after I find out from the janitors when they lock the building doors on Friday.
Most of the questions on this exam will be variations of problems listed below.
Fro
INDICATOR FUNCTION
AND
HATTENDORFF THEOREM
Hans U. Gerber,* Bartholomew P.K. Leung, and Elias S.W. Shiu
ABSTRACT
This paper presents an integration-by-parts proof of the Hattendorff theorem in the general fully
continuous insurance model. The proof motiva
Let g : R R R be a function symmetric with respect to its arguments, i.e.,
g ( s, t ) g (t , s ), s, t 0.
Because g ( s t , s t ) g ( s, t ) , we have
E g Txy , Txy E g Tx , Ty .
(1)
Note that Tx and Ty need not be independent. Applications of (1):
ms /
ACTUARIALISSUESIN THE NOVELS OF JANEAUSTEN
Daniel D. Skwire,
F.S.A.
ABSTR4CT
The novels of JaneAusten have enjoyed a resurgence of popularity recently, and many new readers
have come to appreciate the relevance of her stories to modern times. This relevan
Modified Reserve Methods are discussed in Subsection 2.3 of the Supplementary Notes.
P = level benefit premium
= first-year modified benefit premium
= renewal modified benefit premium
h = length of premium paying period (and we assume it to be the same a
T R A N S A C T I O N S OF SOCIETY OF A C T U A R I E S
1 9 9 4 VOL. 46
D EPENDENT DECREMENT THEORY
J ACQUES F. CARRIERE
A BSTRACT
C urrently, multiple decrement theory is based on the assumption that
c ompeting causes of decrement are stochastically inde
Death Benefit = Face Amount + Reserve
bk = Fk + kV
In Sample Question 61 (Nov 2004, #22), face amount Fk = 1000.
In Sample Question 185 (Nov 2005, #10), face amount Fk = 1000k.
We can start with the recursion equation
h+1V = (hV + h)(1 + i) (bh+1 h+1V)qx+
PREFACE
The analysis and management of financial risk is the fundamental subject matter of the
discipline of actuarial science, and is therefore the basic work of the actuary. In order to
manage financial risk, by use of insurance schemes or any other ris
Actuarial Math by Bowers et al. Exercise 9.45 Find the actuarial present value for
an insurance of 1 payable at the time of the death of (x) provided (y) dies during the
n years preceding the death of (x). Assume Tx and Ty are independent.
T
The actuarial