I know the formula below works

$$A_x=1-d\ddot{a}_x$$

I just want to ask if we do this for any type of whole life product. i.e. does the following hold:

$$\overline{A}_x=1-\delta \overline{a}_x$$

$$A^{(m)}_x=1-d^{(m)}\ddot{a}^{(m)}_x$$

Login

0 votes

Yes, both equations hold.

A relatively simple proof is to note that for any random variable \(R\),

$$\ddot{a}_\overline{R|}^{m} = \frac{1-v^{R}}{d^{(m)}} $$

Letting \(R = T_x\), implying that \(m = \infty \), or \(R = K_x^{(m)} + \frac{1}{m} \), and taking the expectation on both the left and right and side of each of the equations yields the desired results respectively.

A more detailed proof can be found on pages 116 and 120 of DHW, \(2^{nd}\) edition.

- All categories
- BUS 1003H - Introduction to Financial Risk (52)
- BUS 2016H - Financial Mathematics (55)
- BUS 3018F - Models (74)
- BUS 3024S - Contingencies (61)
- BUS 4028F - Financial Economics (39)
- BUS 4027W - Actuarial Risk Management (54)
- BUS 4029H - Research Project (5)
- Mphil (1)
- Calculus and Pure Mathematics (4)
- Statistics (16)

...