Professional Documents
Culture Documents
Formulario PDF
Formulario PDF
FORMULA SUMMARY
Lesson 1: Probability Review
Discrete Distributions
t+u px = t px ·u px+t
t|u qx = t px ·u qx+t =
= t px −t+u px =
= t+u qx −t qx
2. Life Table Functions
dx = lx − lx+1
n dx = lx − lx+n
dx
qx = 1 − px =
lx
lx+t
t px =
lx
lx+t − lx+t+u
t|u qx =
lx
3. Mathematical Probability Functions
t px = ST (x) (t)
t qx = FT (x) (t)
t|u qx = P r (t < T (x) ≤ t + u) = FT (x) (t + u) − FT (x) (t) =
FX (x + t + u) − FX (x + t)
= P r (x + t < X ≤ x + t + u|X > x) =
sX (x)
Sx (t + u)
Sx+u (t) =
Sx (u)
S0 (x + t)
Sx (t) =
S0 (x)
F0 (x + t) − F0 (x)
Fx (t) =
1 − F0 (x)
3
f0 (x) d
µx = = − ln S0 (x)
S0 (x) dx
fx (t) d
µx+t = = − ln Sx (t)
Sx (t) dx
Z t Z t Z x+t
Sx (t) =t px = exp − µx+s ds = exp − µx (s) ds = exp − µs ds
0 0 x
dt px /dt d lnt px
µx (t) = − =−
t px dt
fT (x) (t) = fx (t) =t px · µx (t)
Z t+u
q
t|u x = s px · µx (s) ds
t
Z t
t qx = s px · µx (s)ds
0
If µ∗x (t) = µx (t) + k for all t, then s p∗x = s px e−kt
If µx (t) = µ̂x (t) + µ̃x (t) for all t, then s px = s p̂xs p̃x
If µ∗x (t) = kµx (t) for all t, then s p∗x = (s px )k
4
Makeham’s law:
µx = A + Bcx , c > 1
Bcx (ct − 1)
p
t x = exp −At −
ln c
Weibull Distribution
µx = kxn
n+1 /(n+1)
S0 (x) = e−kx
5
Recursive formulas
n dx
n mx =
n Lx
qx
mx = for uniform (de Moivre) distribution
1 − 0.5qx
n mx = µx for constant force of mortality
Lx − lx+1
a(x) = the fraction of the year lived by those dying during the year
dx
1
a(x) = for uniform (de Moivre) distribution
2
8
Z ∞
Āx = e−δt t px µx (t) dt
0
Actuarial notation for standard types of insurance
Name Present value random variable Symbol for actuarial present value
vT T ≤n
Term life insurance Ā1x:n
0 T >n
0 T ≤n
Deferred life insurance n |Āx
vT T >n
0 T ≤n
1
Deferred term insurance vT n<T ≤n+m n |Āx:m =n |m Āx
0 T >n
0 T ≤n
Pure endowment Ax:n1 or n Ex
vn T > n
vT T ≤n
Endowment insurance Āx:n
vn T >n
11
Actuarial present value under constant force and uniform (de Moivre) mortality for insurances payable
at the moment of death
Type of insurance APV under constant force APV under uniform (de Moivre)
āω−x
µ
Whole life µ+δ ω−x
µ ān
1 − e−n(µ+δ)
n-year term µ+δ ω−x
e−δn ā
µ −n(µ+δ) ω−(x+n)
n-year deferred life µ+δ e ω−x
e−δn (ω−(x+n))
n-year pure endowment e−n(µ+δ) ω−x
Gamma Integrands
Z ∞
n!
tn e−δt dt =
δ n+1
Z0 u ā − uv u
1 u
te−δt dt = 1 − (1 + δu)e −δu
=
0 δ2 δ
Variance
If Z3 = Z1 + Z2 and Z1 , Z2 are mutually exclusive, then
V ar(Z3 ) = V ar(Z1 ) + V ar(Z2 ) − 2E[Z1 ]E[Z2 ]
12
∞
X ∞
X
k+1 k+1
Ax = k |q x v = k px qx+k v
0 0
Actuarial present value under constant force and uniform (de Moivre) mortality for insurances payable
at the end of the year of death
Type of insurance APV under constant force APV under uniform (de Moivre)
aω−x
q
Whole life q+i ω−x
q an
n-year term q+i (1 − (vp)n ) ω−x
vn a
q n ω−(x+n)
n-year deferred life q+i (vp) ω−x
v n (ω−(x+n))
n-year pure endowment (vp)n ω−x
13
Whole life t∗ px
z∗ ≤ vn
n px
n-year term
t∗ px z∗ > vn
+t∗ px z ∗ < v n
n qx
n-year deferred life
1 z∗ ≥ vn
z∗ < vn
0
n-year endowment ∗ n
t∗ px z ≥ v
Lesson 14: Relationships between Insurance Payable at Moment of Death and Payable
at End of Year
Summary of formulas relating insurances payable at moment of death to insurances payable at the
end of the year of death assuming uniform distribution of deaths
i
Āx = Ax
δ
i
Ā1x:n = A1x:n
δ
i
n |Āx = n |Ax
δ
1 i
I Ā x:n = (IA)1x:n
δ
1 i
I D̄ x:n = (ID)1x:n
δ
i 1
Āx:n = Ax:n + Ax:n1
δ
i
A(m)
x = (m) Ax
i
2 2i + i2 2
Āx = Ax
2δ
¯
1 1 1 1 1
I Ā x:n = I Ā x:n − Āx:n −
d δ
Summary of formulas relating insurances payable at moment of death to insurances payable at the
end of the year of death using claims acceleration approach
Āx = (1 + i)0.5 Ax
Ā1x:n = (1 + i)0.5 A1x:n
n |Āx = (1 + i)0.5 n |Ax
Āx:n = (1 + i)0.5 A1x:n + Ax:n1
A(m)
x = (1 + i)(m−1)/2m Ax
2
Āx = (1 + i)2 Ax
16
1 t ≤ min(T, n) āT T ≤n
Temporary life āx:n
0 t > min(T, n) ān T >n
annuity
0 t ≤ n or t > T 0 T ≤n
Deferred life annuity n |āx
1 n<t≤T āT − ān T > n
0 t ≤ n or t > T 0 T ≤n
Deferred temporary 1 n < t ≤ n + m and t ≤ T āT − ān n<T ≤n+m n |āx:m
0 T >n+m ān+m − ān T > n + m
life annuity
1 t ≤ max(T, n) ān T ≤n
Certain-and-life āx:n
0 t > max(T, n) āT T >n
1
āx =
µ+δ
1 − e−(µ+δ)n
āx:n =
µ+δ
e−(µ+δ)n
n |āx =
µ+δ
1
a(m)
x = ä(m)
x −
m
!m !−m
i(m) d(m)
1+i= 1+ = 1−
m m
1
i(m) = m (1 + i) m − 1
1
d(m) = m 1 − (1 + i)− m
m−1
ä(m)
x ≈ äx −
2m
m−1
a(m)
x ≈ ax +
2m
m−1
ä(m)
x = äx −
2m
m−1
a(m)
x = ax +
2m
ä(m)
x = α(m)äx − β(m)
(m)
äx:n = α(m)äx:n − β(m)(1 −n Ex )
(m)
n |äx = α(m)n |äx − β(m)n Ex
āx = α(∞)äx − β(∞)
(m) (m) 1 1
ax:n = äx:n − + n Ex
m m
(m)
1 − Ax
ä(m)
x =
d(m)
Similar conversion formulae for converting the modal insurances to annuities hold for other types of
insurances and annuities (only whole life version is shown).
id
α(m) =
i(m) d(m)
i − i(m)
β(m) =
i(m) d(m)
i(∞) = d(∞) = ln(1 + i) = δ
23
(m)
Woolhouse’s formula for approximating äx :
m − 1 m2 − 1
ä(m)
x ≈ äx − − (µx + δ)
2m 12m2
1 1
āx ≈ äx − − (µx + δ)
2 12
(m) m−1 m2 − 1
äx:n ≈ äx:n − (1 −n Ex ) − (µx + δ −n Ex (µx+n + δ))
2m 12m2
(m) m−1 m2 − 1
n |äx ≈n |äx − n Ex − n Ex (µx+n + δ)
2m 12m2
1 1
e̊x = ex + − µx
2 12
When the exact value of µx is not available, use the following approximation:
1
µx ≈ − (ln px−1 + ln px )
2
24
1 − δāx 1
P̄ Āx = = −δ
āx āx
Āx δ Āx
P̄ Āx = =
(1 − Āx )/δ 1 − Āx
1
P̄ Āx:n = −δ
āx:n
δ Āx:n
P̄ Āx:n =
1 − Āx:n
For constant force of mortality, P̄ Āx and P̄ Āx:n are equal to µ.
Future loss formulas for whole life with face amount b and premium amount π:
1 − vT
T T T
π π
0 L = bv − πāT = bv − π = v b + −
δ δ δ
π π
E[0 L] = bĀx − πāx = Āx b + −
δ δ
Similar formulas are available for endowment insurance.
25
Lesson 22: Premiums: Net Premiums for Discrete Insurances Calculated from Life
Tables
Assume the following notation
(1) Px is the premium for a fully discrete whole life insurance, or Ax /äx
1 is the premium for a fully discrete n-year term insurance, or A1 /ä
(2) Px:n x:n x:n
1 1
(3) Px:n is the premium for a fully discrete n-year pure endowment, or Ax:n /äx:n
(4) Px:n is the premium for a fully discrete n-year endowment insurance, or Ax:n /äx:n
26
Lesson 23: Premiums: Net Premiums for Discrete Insurances Calculated from
Formulas
Whole life and endowment insurance benefit premiums
1
Px = −d
äx
dAx
Px =
1 − Ax
1
Px:n = −d
äx:n
dAx:n
Px:n =
1 − Ax:n
Future loss at issue formulas for fully discrete whole life with face amount b:
Kx +1 Px Px
L0 = v b+ −
d d
Px Px
E[L0 ] = Āx b + −
d d
Similar formulas are available for endowment insurances.
Refund of premium with interest
To calculate the benefit premium when premiums are refunded with interest during the deferral
period, equate the premiums and the benefits at the end of the deferral period. Past premiums are
accumulated at interest only.
Three premium principle formulae
1
n Px − Px:n = Px:n1 Ax+n
Px:n −n Px = Px:n1 (1 − Ax+n )
27
To calculate the gross premium P g by the equivalence principle, equate P g times the annuity-due for
the premium payment period with the sum of
1. An insurance for the face amount plus settlement expenses
2. P g times an annuity-due for the premium payment period of renewal percent of premium expense,
plus the excess of the first year percentage over the renewal percentage
3. An annuity-due for the coverage period of the renewal per-policy and per-100 expenses, plus the
excess of first year over renewal expenses
29