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On Calculation of Moments of the Value of a Life Assurance Liability

Published online by Cambridge University Press:  18 August 2016

G. C. Taylor
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Extract

Pollard and Pollard pointed out that, while it has been conventional to refer to Ax, as ‘the present value of an assurance of one on a life aged x’, this value is a random variable (denoted by Ãx) with mean Ax.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 98 , Issue 2 , September 1972 , pp. 157 - 164
Copyright
Copyright © Institute and Faculty of Actuaries 1972

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References

(1) Pollard, A. H. and Pollard, J. H. A Stochastic Approach to Actuarial Functions. J.I.A. 1969, 95, 79.Google Scholar
(2) Hooker, P. F. and LONGLEY-COOK, L. H. Life and Other Contingencies. Vol. II. (1957). Cambridge University Press.Google Scholar
(3) Perks, W. On a Modification of the Net Premium Method of Valuation of Participating Assurances and on the Application of the n-ages Method to the Valuation of Assurances Grouped by Years of Entry and to the Approximate Calculation of Isolated Values of Actuarial Functions. J.I.A. 1933, 64, 264.Google Scholar
(4) Cramer, H. Mathematical Methods of Statistics. (1946). Princeton University Press.Google Scholar