A Reading of the Theory of Life Contingency Models

A Preparation for the Actuarial Exam MLC/3L

Marcel B. Finan
Arkansas Tech University
c
All
Rights Reserved
Answers Key

The answer key manuscript is to help the reader to check his/her answers against mine. I am not
in favor of providing complete and detailed solutions to every single problem in the book. The
worked out examples in the book are enough to provide the user with the skills needed to tackle
the practice problems.
This manuscript should not be made public or shared with others. Best of wishes.
Marcel B. Finan
Russellville, Arkansas
July 2011

Section 18
18.1 No
18.2 III
18.3 A = 1, B = 1
18.4 0.033
18.5 0.9618
18.6 0.04757
18.7 s(0) = 1, s0 (x) < 0, s() = 0
18.8 0.149
18.9 1 e0.34x , x 0
18.10

x2
,
100

x0

18.11 I
18.12 (a 0.3 (b) 0.3
18.13 1

x
,
108

x0

18.14 (a)
18.15 (x + 1)ex
18.16 0.34e0.34x
18.17 ex

5
18.18
f (x) =

7
,
16
3x
,
8

0,

0<x<1
1<x<2
x>2

18.19 Both functions represent the density of death at age x. The probability density function is
unconditional (i.e., given only existence at age 0) whereas (x) is conditional on survival to age x
18.20 12 (1 x)1
18.21 f (x) = (x)SX (x) = (x)e(x)
18.22

R
0

(x)dx = limR

RR
0

(x)dx = limR ln s(x) = () =

18.23 0.34
18.24 s(x) = e
18.25

Rx
0

(s)ds

= ex , F (x) = 1 s(x) = 1 ex , and f (x) = F 0 (x) = ex

1
480

18.26 ln (x + 1), x 0
18.27

2x
,
4x2

0x<2

18.28
s(x) =eX (x) = ex
F (x) =1 ex
0
f (x) = SX
(x) = ex
18.29 1.202553
18.30 0.2
18.31 (I) and (II)
18.32 2
18.33 24(2 + x)4

18.34 2
18.35 4
18.36 kp
18.37 34 k

18.38 45 2
18.39
e0 = 60 and Var(X) = 450
18.40 (a)

720
7

(b) 0.062

18.41 median = 0.51984 and mode = 0

Section 19
19.1 675
19.2 50
0

(x)
1
19.3 (a) (x) = ss(x)
= 90x
. (b) F (x) = 1 s(x) =
20
50
50) = s(20) s(50) = 90 90 = 13

19.4 (a) F (x) = 1 s(x) = 1 1

1
(b) f (x) = F 0 (x) = 1 x

1
(x)
= 1 x
(c) (x) = fs(x)
19.5

t
,
x

19.6 1

0 t x.

t
,
x

0 t x.

19.7 40
19.8 4
19.9 ln

19.10 0.449
19.11 0,1481
19.12 0.5
19.13 = 0.3054 and median = 2.27
19.14 1 et
19.15 85.34
19.16
e0 = 60 and Var(X) = 3600

x

x
.
90

(c) f (x) = F 0 (x) =

1
.
90

(d) Pr(20 < X <

8
19.17 (III)
19.18 0.01837
19.19 s(x) = e

Rx
0

Bct dt

= e ln c (1c
B

x)

and F (x) = 1 e ln c (1c

x)

19.20 f (x) = s0 (x) = Bcx e ln c (1c )

x
Rx
t
19.21 (x) = 0 Bct dt = Bc
= lnBc (cx 1)
ln c 
0

19.22 6.88
19.23 3.008(1.05)x
0.0004

x)

19.24 1 e ln 1.07 (11.07

19.25 f (x) = (x)s(x) = (A + Bcx )eAxm(c

19.26 1 eAxm(c

0.43

19.28 0.0005131
19.29 (x) = 0.31 + 0.43(2x )
19.30 0.111395
19.31 f (x) = kxn ek

xn+1
n+1

19.32 k = 2 and n = 1

19.34 e225
19.35 e16

where m =

B
ln c

x 1)

x 1)

19.27 f (x) = (0.31 + 0.45(2x ))e0.31x ln 2 (2

19.33 30

x 1)

0.43

x 1)

and F (x) = 1 e0.31x ln 2 (2

19.36 0.009831
19.37 n = 5.1285 and k = 1.5198 1011 .

10

Section 20
20.1 sT (x) (t) = 1

t
,
x

20.2 sT (x) (t) = 1

t
,
75x

20.3

m+n px

s(x+m+n)
s(x)

0 t x.
0 t 75 x and fT (t) =

s(x+m+n)
s(x+m)

s(x+m)
s(x)

1
75x

= n px+m m px

20.4 0.9215
20.5 Induction on n and Problem 20.3
20.6 (a)
20.7

17 p35

38 p35 (b) 0.323

4
t+4

20.8 0.9559
20.9 We have
Z

x+t

x+t

[ln s(y)] dy = ln

(y)dy =
x

s(x)
s(x + t)

so that
t px

R x+t
s(x + t)
= e x (y)dy
s(x)

20.10 0.59049
20.11 (a) 0.8795 (b) 0.9359
20.12 We have


s(x + t)
s0 (x + t)

p
=
=
t x
t
t
s(x)
s(x)
0
s (x + t) s(x + t)
=
= t px (x + t)
s(x + t) s(x)
20.13 (x) = 0.04 + 0.00189(1.056)x

11
20.14 We have
t|u qx

=Pr(t < T (x) t + u)

=FT (x) (t + u) FT (x) (t)
=t+u qx t qx
=(1 t+u px ) (1 t px )
=t px t+u px

20.15 We have
t|u qx

=t px t+u px
s(x + t) s(x + t + u)
=

s(x)
s(x)
s(x + t) s(x + t + u)
=
s(x)



s(x + t) s(x + t) s(x + t + u)
=
s(x)
s(x + t)
=t pxu qx+t

20.16 0.5714
20.17 0.9841
20.18 0.025
20.19 This follows from t qx = 1 t px and Problem 20.12
20.20 1

+t

20.21 0.9913
20.22 2| q1 is the probability that a life currently age 1 will die between ages 3 and 4
20.23 0.23915
20.24 1

120 1.1
120+t

12
20.25 0.1694
20.26 0.6857
20.27 sT (x) (t) =

90xt
90x

20.28 fT (x) (t) =

1
,
90x

and fT (x) (t) =

1
,
90x

0 t 90 x

0 t 90 x

20.29 0.633
0.0625

20.30 fT (36) (t) =

20.31 fT (2) (t) =

(64t) 2
2+t
48

20.32 0.01433
20.33
20.34

d
(1
dt

R
0

t px ) =

t px (x

20.35 T (x) (t) =

20.36 (x + t) =

d
(q )
dt t x

+ t)dx =
fT (x) (t)
t px

1t qx

20.39 5.25
20.40 0.3783
20.41 49.8
20.42 10510.341
20.43 300

FT0 (x) (t)

1FT (x) (t)

0 t 100 x

20.37 (x + t) = (x) =
20.38 0.015

fT (x) (x)dx = 1

FT0 (x) (t)

1
,
100xt

= t px (x + t)

13
20.44 50
20.45 pKx (k) = k1 px qx+k1 = k1| qx
20.46 Pr(Kx k) = Pr(T (x) > k 1) = sT (x) (k 1) = k1 px
20.47 pK(x) (k) = k px k+1 px =
20.48 ex =

99x
2

and ex =

100xk 0.5
100x

100xk1 0.5
100x

100x
2

20.49 1
20.50 2
20.51 We have
ex =

k px

= px +

k=2

k=1

=px +
=px +

X
k=2

pxk1 px+1
pxk px+1

k=1

=px (1 + ex+1 )
20.52 T (x) = Kx 1 + Sx = K(x) + Sx
20.53 1.07
20.54 9.5

k px

14

Section 21
21.1

1
99.5x

21.2 We have
R x+n
n mx

= Rxx+n

s(y)dy
R x+n 0
s (y)dy
= Rxx+n
s(y)dy
x
s(x) s(x + n)
= R x+n
s(t)dt
x
x

21.3 n mx =

2n
2002nx1

21.4 0.6039
21.5

1
75

21.6 m40 = 0.0096864 and

10 m75

f (y)dy

= 0.044548.

15

Section 22
22.1 (a) `x = 10 x (b) p2 = 87 , q3 = 71 , 3 p7 = 0, 2 q7 =
22.2 F (x) =
22.3

t|u qx

2
3

`0 `x
`0
`x+t `x+t+u
`x

22.4 We have
Age
0
1
2
3
4
5

`x
100,000
99,499
98,995
98,489
97,980
97,468

dx
px
501 0.99499
504 0.99493
506 0.99489
509 0.99483
512 0.99477
514 NA

22.5 `t+x
22.6 (a) 9734 (b) 50 (c) 200 (d) 0.0211 (e) 0.0055

qx
0.00501
0.00506
0.00511
0.00517
0.00523
NA

16

Section 23
23.1 (x) =

1
,
x

0x<

23.2 0.05
23.3 Let u = x + t. Then
(x + t) =(u) =
=
=

d`u
dt

d`u
du

`u

dt
du

`u
d`x+t
dt
`x+t

23.4 `x = 100 x
23.5 (x) = 31 (90 x)1
R x+n
R x+n h d i
23.6 `x `x+n = x
dy `y dy = x `y (y)dy
23.7

d
` (x)
dx x

d
dx

 d 
d2
dx `x = dx
2 `x

23.8 f (x) = 0.95(100 x)1

23.9 5000
23.10 Using integration by parts we find
Z
Z
1 0
x`x dx
xf (x)dx =
`0 0
0


Z
[1

=
x`x |0
`x dx
`0
0
Z
1
=
`x dx
`0 0
where we used the fact that ` = `0 s() = 0

17
23.11 Using integration by parts we find
Z
Z
1 2 0
2
x f (x)dx =
x `x dx
`0 0
0


Z
[1 2 
=
x `x 0 2
x`x dx
`0
0
Z
2
x`x dx
=
`0 0
where we used the fact that ` = `0 s() = 0
h
i
`x+t
d
d
23.12 fT (x) (t) = dt t qx = dt 1 `x = `1x dtd `x+t
h
i
R 10
1.85 10
23.13 Tx = x 100(10 y)0.85 dy = 100 (10y)
=
1.85
x

100(10x)1.85
1.85

23.14 5.405
23.15 48.881
23.16 5000(1 + x)2
23.17 0.1
23.18 0.123
23.19 n px is the probability of surviving to age x + n + m. If we remove n+m px , which is the
probability of surviving to x + n + m years, then we have the probability of surviving to age x + n
but dying by the age of x + n + m which is n|m qx
23.20

6|10 q64

23.21

m
x

23.22 en e(n+m)
23.23 0.3064
23.24 20

18

23.25 800
23.26 400
23.27

1+x
3

23.28

(1+x)2
3

23.29 29 (1 + x)2
23.30

137
3

23.31 352.083
23.32 The expected number of years (60) is expected to live in the next 25 years is 17.763
23.33 We have
Z

m+n

ex:m+n =

t px dt
0

t px dt

=
Z n0

t px dt

t px dt
m
m

m+y px dy

m+n

t px dt

Z
+

m px

y px+m dy

=
ex:m + m px
ex+m:n
23.34 We have
Z

=
0
Z n
Z
=
t px dt +

n
t px dt

t px dt

ex =

t px dt
n

Z
y+n px dt

Z
t px dt

=
ex:n + n px
ex+n
23.35 6.968
23.36 15.6
23.37 E[K(x)2 ] =

k=1 (2k

1)k px =

1
`x

k=1 (2k

1)`x+k

n px

y px+n dt

19
23.38 7.684
23.39 2.394
23.40 pK(20) (k) = k p20 k+1 p20 = e0.05k e0.05(k+1) = e0.05k (1 e0.05 )
23.41 0.905
23.42 We have Tx =

R
x

`y dy =

P R k+1
k=x

P R 1

`y dy =

k=x

`k+t dt =

k=x

Lk

23.43 n Lx = Tx Tx+n = 200e0.05x (1 e0.05n )

23.44 n Lx = Tx Tx+n = 1000(x + 1)3 1000(x + n + 1)3
23.45 577.190
23.46 Recall that
Lx = (x )
so that

n
X

1
2

Lk = L1 Ln+1 = n

k=1

23.47 We have
Z

Z
`y dy =

Lx =
x

and therefore

x+1

x+1

`y dy

`y dy +
0

d
Lx = `x+1 `x = dx
dx

23.48 We have

d
Lt = dt = mt Lt .
dt
Separating the variables and integrating both sides from x to x + 1 we obtain


Z x+1
Lx+1
ln
=
my dy.
Lx
x
Solving for Lx+1 we find
Lx+1 = Lx e

R x+1
x

my dy

20
23.49 (a) We have
dx =`x `x+1 = 1
Z 1
Z 1
1
`x+t dt =
( x t)dt = x
Lx =
2
0
0
dx
1
mx =
=
Lx
x 0.5
1
(b) For DeMoivres Law RV we have (x) = x
.
(c)We have
1
x 0.5
1
mx
=

=
= (x)
1 + 0.5mx
x 0.5
x
x

23.50 (a) 2502.357 (b) 0.0159

23.51 (a)
23.52 100

10 L20

= 750,

10 d20

= 10 (b)

1
75

21

Section 24
24.1

100, 000 501t

99, 499 504(t 1)

98, 995 506(t 2)

`t =
98,
489 509(t 3)

97, 980 512(t 4)

97, 468 514(t 5)

24.2

t p0

100,000501t
100,000
99,499504(t1)
100,000
98,995506(t2)
100,000
98,489509(t3)
100,000
97,980512(t4)
100,000
97,468514(t5)
100,000

0t1
1t2
2t3
3t4
4t5
5t6

0t1
1t2
2t3
3t4
4t5
5t6

24.3 e0 = 4.92431 and

e0 = 5.42431
24.4 We have
t qx+s

=tqx+s =

dx+s
`x+s `x+s+1
=t
`x+s
`x+1
d

x
dx
tqx
=t
= t `x dx =
`x sdx
1 sqx
1 s `x

24.5 0.95
24.6 (I) and (II)
24.7 1/9
24.8

r|h qx

`x+r `x+r+h
`x

24.9 0.813
24.10 0.2942

(`x rdx )(`x (r+h)dx )

`x

= h d`xx = hqx

22
24.11 0.5447
24.12 We have
ts qx+s

=1 ts px+s
=1 e

R x+t

=1 e

Rt

x+s

(y)dy

(x+r)dr

=1 e(ts)x
24.13
24.14

1
12

q90 = 0.02369 and

0.5 qx

= 0.0513 and

1
12

q90+ 11 = 0.02369
12

0.5 qx+0.5

24.15 L95 = 690.437 and m95 =

= 0.0513

`95 `96
L95

200
690.437

= 0.28967

24.16 We have
st qx+t

s(x + s)
s(x + t) s(x + s)
=1
s(x + t)
s(x + t)

=1

s px
t px

=1

px
s+(1s)px
px
t+(1t)px

t + (1 t)px
s + (1 s)px
(s t)(1 px )
=
s + (1 s)px
(s t)qx
=
1 (1 s)qx

=1

24.17

0.75 p80

= 0.95857 and

2.25 p80

24.18 13440
24.19 0.00057
24.20 (i) 1.475801 (ii) 1.475741

= 0.87372

23

Section 25
25.1 84
25.2 8.2
25.3 8056
25.4 0.4589
25.5 0.0103

24

Section 26
26.1 0.03125
26.2 A20 = 0.4988, 2 A20 = 0.2998, Var(Z20 ) = 0.0501
26.3 3.75
26.4 0.04
26.5 116.09
26.6 14.10573
1
1
1
= 0.0885, 2 A25:10
= 0.0685, Var(Z 25:10
) = 0.0607
26.7 A25:10
1
1
1
26.8 A30:20
= 0.3167, 2 A30:20
= 0.1987, Var(Z 30:20
) = 0.0984

26.9 0.2378
26.10 0.4305
26.11

1
1+e(+)

26.12 0.05
26.13 A30:201 = 0.2628, 2 A30:201 = 0.0967, Var(Z 30:201 ) = 0.0276
26.14 A30:201 = 0.2231, 2 A30:201 = 0.0821, Var(Z 30:201 ) = 0.0323
26.15 0.02497
26.16 0.7409
26.17 mean = 1051.43 and the standard deviation is 197.94
26.18 (a) 590.41 (b) 376.89

25
26.19 0.2793
26.20 0.4775
26.21 0.73418
1
+ 2 Ax:n1 =
26.22 2 Ax:n = 2 Ax:n

26.23

= 2m m px 2 Ax+m

m| Ax

26.24 0.1647
26.25 0.0253
26.26 0.0873
26.27 0.0154

Rn
0

2t t px (x + t)dt + 2n n px

26

Section 27
27.1 A30 = 0.3168, 2 A30 = 0.1805, Var(Z30 ) = 0.0801
1
1
1
27.2 A30:10
= 0.2461, 2 A30:10
= 0.1657, Var(Z 30:10
) = 0.1051

27.3

10| A30

= 0.1544,

10| A30

= 0.02981, Var(10| Z30 ) = 0.00597

27.4 A30:10 = 0.4692, 2 A30:10 = 0.2478, Var(Z30:10 ) = 0.0277

27.5 1730.10
27.6 0.19026
27.7 0.9396

27

Section 28
28.1 0.671
28.2 We have

Ax =

k+1

k px qx+k

k=0

1
Ax:n

k+1 k px qx+k

k=n

1
+
=Ax:n

k+1+n k+n px qx+k+n

k=0
1
+ n n px
=Ax:n

k+1 k px+n qx+k+n

k=0
1
=Ax:n

n px Ax+n

28.3 0.0081
28.4 0.00242
28.5 Using (i) and (ii), we can rewrite the given relation as
u(k 1) = u(k)pk1 + qk1 .
Now, we have
u(70) =1
u(69) =p69 + q69 = A69:1
u(68) =[p69 + q69 ]p68 + q68 = 2 p68 p69 + 2 p68 q69 + q68 = A68:2
u(67) =[ 2 p68 p69 + 2 p68 q69 + q68 ]p67 + q67
= 3 p67 p68 p69 + 3 p67 p68 q69 + 2 p67 q68 + q67 = A67:3
.. ..
. =.
u(40) =A40:30

28
28.6 We have
2

Ax

n Ex

Ax+n +

n Ex

=
=
=

28.8 2.981%

k px qx+k

k=0

k=0

2(k+1) k px qx+k

k=0

k=0

k=0
n1
X
k=0

28.7 0.02544

2(k+1)

2(k+1) k px qx+k

2(k+1+n) n pxk px+n qx+n+k + 2n n px

2(k+1+n) n+k px qx+n+k + 2n n px
2(k+1) k px qx+k + 2n n px

k=n

2(k+1) k px qx+k + 2n n px = 2 Ax:n

29

Section 29
29.1 11772.61
29.2 10416.22
29.3 E(Z) = 20.3201, E(Z 2 ) = 2683.7471, Var(Z) = 2270.8406
29.4 87.35
29.5 12.14
29.6 4
29.7 0.3403
29.8 1
30 =
29.9 (I A)
x=
29.10 (IA)

P29

R
0

k=0 (k

+ 1)e0.02(k+1)

et et ()dt =

(+)2

= ( + )1 Ax

29.11 1.9541
29.12 We have

x=
(IA)

t t t px (x + t)dt
Z0 Z t 
=
ds t t px (x + t)dt
Z0 Z 0
=
t t px (x + t)dtds
Z0 s

=
s| Ax ds
0

30
29.13 We have
1
x:n
(I A)

1
x:n
(DA)

bt + 1c t px (x + t)dt +
0
Z n
=(n + 1)
t t px (x + t)dt
=

(n btc) t t px (x + t)dt

0
1
=(n + 1)Ax:n

where we used the fact that bt + 1c btc = 1 for k 1 t k.

29.14 We have
1
(IA)x:n

n1
n1
X
X
k+1
(k + 1) k+1 k px qx+k
(k + 1) k| qx =
=
k=0

k=0

n1
X

k k+1 k px qx+k +

k=0

n1
X
k=0
n1
X
k=0

k=0
1
=Ax:n

k+1 k px qx+k +

n1
X

k+1 k px qx+k

k=0
n1
X

k k pxk1 px+1 qx+k

k=1
n2
X

k+1 k px qx+k + px
k+1 k px qx+k + px
+

k=0
n2
X

(k + 1) k+1 k px+1 qx+k+1

(k + 1) k+1 k| qx+1

k=0
1
px (IA)x+1:n1 .

29.15 5.0623
29.16 This follows from the two recursion relations
1
1
Ax:n
= qx + px Ax+1:n1

and
1
1
1
(IA)x:n
= Ax:n
+ px (IA)x+1:n1
.

31
29.17 We have
1
(IA)x:n

1
(DA)x:n

n1
n1
X
X
k+1
=
(k + 1) k| qx +
(n k) k+1 k| qx

k=0
n1
X

k=0

[k + 1 + n k] k+1 k| qx

k=0

=(n + 1)

=(n + 1)
=(n +
29.18 12.2665.

n1
X
k=0
n1
X

k+1 k| qx
k+1 k px qx+k

k=0
1
.
1)Ax:n

32

Section 30
30.1 115.10
30.2 543.33
30.3 2758.99
30.4 We have
x =E[bT + 1c T ] = E[(K + 1) K+1 S1 ]
(I A)
=E[(K + 1) K+1 ]E[ S1 ]
i
= (IA)x .

30.5 We have
E[(S 1)

S1

(s 1)(1 + i)1s ds
0
Z 1
s(1 + i)s ds
=
0
1
Z
1 s 
1 1 s
= e  +
e ds

0
0


1+i
i
=
2 .

]=

30.6 We have
x =E(T T ) = E[(K + 1 + S 1) T ]
(IA)
=E[(K + 1) T ] + E[(S 1) T ]
=E[bT + 1c T ] + E[(S 1) T ]
x + E[(S 1) K+1 S1 ]
=(I A)
i
= (IA)x + E[ K+1 ]E[(S 1) S1 ]

i
= (IA)x + Ax E[(S 1) S1 ]



i
1+i
i
= (IA)x
2 Ax .

33

Section 31
(2)

31.1 A69 = 0.5020 is the actuarial present value of a whole life insurance of $1 issued to (69)
with death benefit paid at the end of the semiannual in the year of death.
31.2 0.0695
31.3 0.9137
31.4 0.5217
31.5 0.8494

34

Section 32
32.1 280.65
32.2 248.67
32.3 0.6614
32.4 FT (20) (t) = 1 +
32.5 0.8187
32.6 1,430,000

ln t
.
4

35

Section 33
33.1 12
33.2 E(Yx2 ) =

1
[1
2

2Ax + 2 Ax ]

33.3 2.8
33.4 7.217
33.5 Pr(Yx > a
x ) =
33.6 13.027
33.7

1
122

33.8 13.96966
33.9 0.7901
33.10 0.8
33.11 65098.637
33.12 19.0042586

36

Section 34
34.1 a
x:n =

1e(+)n
+

34.2 2.16166
34.3 We have
Z

t Ex dt

a
x =
0

t Ex dt +
t Ex dt
0
n
Z
=
ax:n +
t n pxtn px+n dt
n
Z
n
=
ax:n + px
t t px+n dt

x+n
=
ax:n + n n px a
34.4 7.8202
34.5 We have
Z

m+n

t t px dt

a
x:m+n =
Z0 m

m+n

t t px dt
t px dt +
0
Z m+n m
=
ax:m +
t tm px+mm px dt
m
Z m+n
m
=
ax:m + m px
tm tm px+m dt
Zmn
=
ax:m + m m px
t t px+m dt
=

=
ax:m + m Ex a
x+m:n

37

Section 35
35.1 We have

Z
x
n| a

t t

Z
dt =

et(+ dt

n

e(+)t 
en(+)
=
=
+ n
+
n

35.2 0.3319
35.3 For T (x) n, we have
= Z 1 = n| Zx = 0.
x:n
n
= and n| Zx = T . Thus,
n| Yx

For T (x) > n we have Z x:n1

Z x:n1 n| Zx
n T
1 T n
=
= n
= n| Yx .

35.4 We have
E[(n| Yx )2 ] =

2n (
atn )2 t px (x + t)dt
n


Z

2n
2
tn

=
t px dt
(
atn ) t px n + 2
n
Z
2n
=2 n px
ta
t t px+n dt
0

35.5

x
20| a

= 1.2235 and Var(20| Yx ) = 0.9753

38

Section 36
36.1

50
20| a

= 0.3319 and a
50:20 = 8.9785

36.2 We have
a
x:n =E(Yx:n )
Z n
Z
a
n t px (x + t)dt +
a
t t px (x + t)dt
=
0
n
Z
=
an [t px ]n0 +
a
t t px (x + t)dt
Z n
=
an n qx +
a
t t px (x + t)dt.
n

36.3 We have
Z

a
x:n =
an n q x +

a
t t px (x + t)dt
Z

=
an n q x a
t t px |n +
t t px dt
n
Z
t t px dt.
=
an + +
n

36.4 This follows from

Var(Yx:n ) = Var(
an + n| Yx ) = Var(n| Yx )
36.5 From Section 35, we have that
x
n| a

= n Ex a
x+n .

Therefore,
a
x:n = a
n + n Ex a
x+n .
36.6 From Problem 34.3, we have that
x+n .
a
x = a
x:n + n Ex a
Therefore,
a
x:n = a
n + (
ax a
x:n ).

39

Section 37
37.1 0.5235
37.2 13.78
37.3 We have
a
x =

k px = 1 +

k=0

=1 + px

k px = 1 + px

k=1

X
k=1

k k px+1 = 1 + px a
x+1 .

k=0

37.4 0.364
37.5 7%
37.6 150,000
37.7 52,297.43
37.8 1296.375
37.9 We have
a
x:n =

n1
X

k k px

k=0

=1 +

n1
X

k k px

k=1

=1 + px
=1 + px

n1
X
k=1
n2
X

k1 k1 px+1
k k px+1

k=0

=1 + px a
x+1:n1 .

k1 k1 px+1

40
37.10 264.2196
37.11 114.1785
37.12 0.2991
37.13 280.41
37.14 49.483
37.15 10.3723
37.16 Recall the following
1
+ n Ex Ax+n
Ax = Ax:n

and
1
Ax:n = Ax:n
+ n Ex .

Thus,
1
1 Ax:n
1 Ax
n Ex Ax+n
=
d
d
1 Ax:n + n Ex n Ex Ax+n
=
d 

1 Ax:n
1 Ax+n
+ n Ex
=
d
d
=
ax:n + n Ex a
x+n .

a
x =

37.17 Recall that

Z x:n1
and


=


n| Zx

0 T n
n T > n
K n1
Kn

K+1

Thus, if K n 1 then T n and therefore Z x:n1 = n| Zx = n| Zx = 0. If K n then T > n so that

Z 1 n| Zx
n
K+1
Z 1 = n and n| Zx = K+1 . Thus, x:n
=
=
a
= n| Zx .
x:n

K+1n

37.18 This follows from the previous problem by taking expectation of both sides.

41

37.19 n| a
x = n Ex a
x+n =

n (px )n
1e(+)

en(+)
.
1e(+)

37.20 0.4151
37.21 0.45
37.22 16.6087
37.23 15.2736
37.24 58.36
37.25 3.30467
37.26 We have

ex =

k px =

pxk1 px+1 = px + px

k1 px+1

= p(x)(1 + ex+1 ).

k=2

k=1

k=1

(b) 0.0789.
37.27 ax =

e(+)
1e(+)

37.28 We have
ax =

k Px =

37.30 0.1782
37.31 ax:n = e
37.32 11.22

1en(+)
1e(+)

k1 k1 px+1

k=1

X
k=1

37.29 7.6

pxk1 px+1 = px

k1 k1 px+1 ) = px (1 +

k=2

(+)

k=1

k=1

=px (1 +

k k px+1 ) = px (1 + ax+1 )

42

Section 38
38.1 12.885
38.2 13.135
38.3 A80 = 0.8162 and a
80 = 2.5018
38.4 15.5
38.5 8.59
38.6 We have

(m)
a
x:n

mn1
1 X k
=
m k px
m
m k=0
mn

1
1 X k
1
+
m k px n n px
m
m m k=1
m
(m)

=ax:n +

1
(1 n Ex ).
m

38.7 We have

(m)

a
x:n =
a(m)
n| a
(m)
x
x
i i(m)
i d
i i(m)

+
x
n Ex
n|
i(m) d
i(m) d(m) i(m) d(m)
i(m) d(m)
i d
i i(m)
= (m) (m) (
ax n| a
x ) (m) (m) (1 n Ex )
i d
i d
(m)
i d
ii
= (m) (m) a
xn (m) (m) (1 n Ex ).
i d
i d

a

(m) x

43
38.8 (a) We have
a(m)
=
a(m)

x
x

1
m

i i(m)
1

(m)
(m)
(m)
i d
i d
m
i d
i i(m)
1
= (m) (m) (ax + 1) (m) (m)
i d
i d
m
1
(m)
i d
i d
ii
(1 m )i(m)
= (m) (m) ax + (m) (m) (m) (m)
i d
i d
i d
i(m) d(m)
d(m) d
i d
= (m) (m) ax + (m) (m) .
i d
i d

a

(m) x

(b) We have
(m)

1
(1 n Ex )
m
i d
i i(m)
1
(m) (m) a
xn (m) (m) (1 n Ex ) (1 n Ex )
i d
i d
m
(m)
i d
ii
1
= (m) (m) (1 n Ex + ax:n ) (m) (m) (1 n Ex ) (1 n Ex )
i d
i d
m
i d
d(m) d
= (m) (m) ax:n (m) (m) (1 n Ex ).
i d
i d
(m)

ax:n =
ax:n

38.9 (a) We have

(m)

a
x:n =
a(m)
n| a
(m)
x
x
m1
m1
n| a
x +

ax
n Ex
2m
2m
m1
(1 n Ex ).
=
ax:n
2m
(b) We have
1
m
m1
1

ax

2m
m
m1
1
=ax + 1

2m
m
m1
=ax +
.
2m

a(m)
=
a(m)

x
x

44
(c) We have
(m)
n| ax

(m)

=n Ex ax+n


m1
n Ex ax+n +
2m
m1
=n Ex ax+n +
n Ex
2m
m1
=n| ax +
n Ex .
2m

(d) We have
(m)

ax:n =a(m)
n| ax
x
m1
m1
n| ax
ax +
n Ex
2m
2m
m1
=ax:n +
(1 n Ex ).
2m
38.10 (a) We have
(m)

(m)

a
x:n =
a(m)
n Ex a
x+n
x
m 1 m2 1

ax

((x) + )
2m
12m
m 1 m2 1

((x + n) + )
n Ex (
ax+n
2m
12m


m1
m2 1
=
ax:n
( + (x) n Ex ( + (x + n))).
(1 n Ex )
m
12m
(b) The result follows by letting m in the 3-term Woolhouse formula.
(c) The result follows by letting m in (a)

45

Section 39
39.1 218.79
39.2 8.56
39.3 5.1029
39.4 5.7341
39.5 5.3465
39.6 204.08
39.7 4.4561
39.8 (I
a)x =

39.9 (I
a)x =

Rn

dte t i px dt

dte t i px dt

39.10 (D
a)x:n =

Rn
0

dn te t i px dt

46

Section 40
40.1 0.2
x ) = 0.15940
40.2 P (A75 ) = 0.02901 and Var(L
40.3 0.2
40.4 0.7125
40.5 0.1
40.6 0.05137
1
1 ) = 0.1553
) = 0.02 and Var(L
40.7 P (Ax:n
75:20
1
)=
40.8 P (Ax:n

1
(1en )
(x)
1
1 (x) (1en )en

n
(1 x
))

and

1 ) = 1 + 
Var(L
x:n

1
(1
(x)

1
(1
(x)

en )

en )

en

n
x



1
1
(1 en )2

(1 en ) 2
2( x)
( x)2
1
1 ) = 0.13694
40.9 P (A75:20
) = 0.02402 and Var(L
75:20

40.10 0.25285
40.11 0.47355
40.12 0.04291
40.13 0.09998
40.14 We have

h
P (Ax:n ) =

1
(1
(x)

1
(1
(x)

)+e

n
x

en ) en 1

i

n
x

47

x:n ) =
Var(L

1
(1
2(x)

 1
n
e2n ) + e2n 1 x
(x) (1 en ) + en 1


2
n
1
(1 en ) en 1 x
1 (x)

40.15 0.04498
40.16 0.10775
40.17 0.06626
40.18 0.4661
40.19 0.0229
40.20 0.42341
40.21 We have
A1
A 1
1
) + P (Ax:n1 )Ax+n = x:n + x:n Ax+n
P (Ax:n
a
x:n
a
x:n
1

A + n| Ax
= x:n
Ax+n
a
x:n
Ax
=
a
x:n
=n P (Ax )
40.22 We have
Ax:n
A1
1
P (Ax:n ) + P (Ax:n
)=
+ x:n
a
x:n
a
x:n
1

Ax:n + Ax:n
=
a
x:n
1

A
= x:n = P (Ax:n1 )
a
x:n
40.23 0.01657
40.24 0.03363

n
x

2

48
40.25 0.0498
40.26 1.778
40.27 0.7696
40.28 5.43
40.29 14.09
40.30 0.005

49

Section 41
41.1 12381.06
41.2 124.33
41.3 P (Ax ) =

Ax
a
x

qx
qx +i
1+i
qx +i

= qx

41.4 16076.12
41.5 33.15
41.6

4
105

41.7 From the definition of P (Ax ) and the relation Ax + dax = 1 we can write
1 dax
Ax
=
ax
ax
P (Ax )ax =1 dax
ax (P (Ax ) + d) =1
1
ax =
P (Ax ) + d
P (Ax ) =

41.8 33.22
41.9 We have
1
1
Lx:n
=Z x:n
P Yx:n


1 Zx:n
1
=Z x:n P
d


1
Z x:n1
1 Z x:n
1
=Z x:n P
d


P
P
P
1
Z x:n
+ Z x:n1
= 1+
d
d
d

41.10 0.317
41.11 2410.53

50

41.12 0.0368
41.13 281.88
41.14 10877.55
41.15 261.14
41.16 0.2005
41.17 0.087
41.18 This follows easily by dividing
1
) + Ax:n1
Ax:n = Ax:n

by a
x:n
41.19 We have
1
Ax:n
A 1
+ x:n Ax+n
a
x:n
a
x:n
1
A + Ax:n1 Ax+n
= x:n
a
x:n
Ax
=
= n P (Ax )
a
x:n

1
P (Ax:n
) + P (Ax:n1 )Ax+n =

41.20 0.00435
41.21 0.03196
41.22 0.03524
41.23 0.51711

51
41.24 We have


n| Lx

1 Zx
d

P
P
1
=n| Zx P
= n| Zx +
Z x:n
+ n| Zx
d
d


P
P 1
P
= 1+
n|Zx + Z x:n

d
d
d

41.25 Note first that

1
K+1
Z x:n
I(K n) K+1 I(K n 1) = 0.
n| Zx =

Thus,
"
E

n| Lx

P
d

2 #

" 
#

2
2
P
P
1
=E
(Z x:n
)2 + 1 +
(n| Zx )2
d
d

2
 2
P
P
2
1
+ 1+
(2 Ax:n
=
n| Ax
d
d

41.26 The loss random variable is

K+1 I(K n) P a
min (K+1,t) = n| Zx P Yx:t .
The actuarial present value is
n| Ax

Pa
x:t

41.27 The benefit premium which satisfies the equivalence principle is

t P (n| Ax )

41.28 0.01567
41.29 13092.43
41.30 0.024969

n| Ax

a
x:t

52

Section 42
42.1 0.0193
42.2 0.0256
42.3 0.0347
42.4 This is the benefit premium for a 20-payment, semi-continuous whole life insurance issued
to (40) with face value of 1000
42.5 0.04575
42.6 0.0193
42.7 0.0289
42.8 0.829
42.9 0.0069
42.10 11.183
42.11 12972.51
42.12 0.0414
42.13 0.0620
42.14 0.0860

53
42.15 We have
P (Ax:n n P (Ax ) Ax:n Ax
=
P (Ax:n1 )
Ax:n1
A1 + Ax:n1 Ax
= x:n
Ax:n1
A 1 n Ax
= x:n 1
Ax:n
A 1 Ax:n1 Ax+n
= x:n
= 1 Ax+n .
Ax:n1
1
+ Ax:n1
42.16 This follows from the formula Ax:n = Ax:n

42.17 0.0096
42.18 0.0092
42.19 We have
Ax:n1 Ax+n
a
x
Ax:n1 Ax+n
=
.
a
x:n + n Ex a
x+n

P (n| Ax ) =

42.20 77079

54

Section 43
43.1 231.64
43.2 122.14
43.3 331.83
43.4 493.58
43.5 94.83
43.6 224.45
43.7 117.52
43.8 325.19
43.9 484.32

55

Section 44
44.1 7.747
44.2 102
44.3 0.078
44.4 0.88
44.5 15.02
44.6 5.1
44.7 19.07
44.8 73.66
44.9 397.41
44.10 1.276
44.11 478.98
44.12 3362.51
44.13 900.20
44.14 17.346
44.15 3.007986
44.16 15513.82

56

Section 45
45.1 0.0363
45.2 0.0259
45.3 0.049
45.4 0.07707
45.5 0.02174
45.6 (a) E(Lx ) = bAx
ax (b) Var(Lx ) = b +
45.7 33023.89
45.8 27
45.9 0.208765
45.10 36.77

2 2
[ Ax
d

(Ax )2 ]

57

Section 46
46.1 We have
(Ax ) =Ax+t P (Ax )
ax+t


1
ax
=(1
ax+t )
a
x+t
a
x
a
x+t
+
ax+t
=1
ax+t
a
x
a
x+t
=1
.
a
x

tV

46.2 8.333
46.3 0.04
46.4 0.0654
46.5 1.6667
46.6 0.1667
46.7 0.47213
46.8 0.20
46.9 0.14375
46.10 0.3
46.11 0.1184
46.12 0.1667
46.13 0.1183
46.14 0.1183

58
46.15 we have
(Ax ) =Ax+t P (Ax )
ax+t


Ax+t
P (Ax )
=
ax+t
a
x+t


=
ax+t P (Ax+t ) P (Ax )

tV

46.16 0.1183
46.17 0.0654
46.18 The prospective formula is
(A50 ) = A60 P (A50 )
a60 .

10 V

The retrospective formula is

10 V (A50 ) =

1
P (A50 )
a50:10 A50:10
10 E50

46.19 We have
1
P (Ax )
ax:n Ax:n

V
(
A
)
=
t
x
n Ex

P (Ax )

1
A
x:n
a
x:n

n Ex

a
x:n
1
P (Ax ) P (Ax:n
)
=
1

P (Ax:n )

46.20 True
46.21 0.0851

59
46.22 We have
1
(Ax:n
) =A

tV

1
P (Ax:n
)
ax+t:nt



1 Ax:n
(nt)(+)
=
(1 e
)
+

"
#

(nt)(+)
(nt)(+)
(1

e
)

e
1

+
=
(1 e(nt)(+) )
+




+
(1 e(nt)(+) )
=
+

( + )
1
x+t:nt

=0 (1 e(nt)(+) ) = 0
46.23 Follows from the previous problem.
46.24 0.0294
1
1
1
46.25 t V (Ax:n
)=a
x+t,nt [P (Ax+t:nt
) P (Ax:n
)]


1 )
P (A
1
1
x:n

46.26 t V (Ax:n ) = Ax+t:nt 1 P (A 1

)
x+t:nt

46.27 0.4207
46.28 0.3317
46.29 Recall that
a
x:n =

1 Ax:n
.

Thus,
(Ax:n ) =Ax+t:nt P (Ax:n )
ax+t:nt
Ax:n
=Ax+t:nt
a

a
x:n x+t:nt
Ax:n
1 Ax+t:nt
=Ax+t:nt 1A

x:n

tV

A
Ax:n
= x+t:nt
1 Ax:n

60
46.30 0.3431
46.31
1

t V (Ax:n )


=

1
Ax+t:nt
P (Ax:n1 )
ax+t:nt , t < n
1,
t = n.

46.32 0.7939
46.33 1
46.34 0.3088
46.35 0.2307
46.36 This is the 10th year benefit reserve for a fully continuous 20-year pure endowment of unit
benefit issued to (75).
46.37 We have
(Ax:n1 ) + 2A

tV

1
x+t:nt

1
1
=Ax+t:nt
P (Ax:n1 )
ax+t:nt + 2Ax+t:nt
1
1
1
=Ax+t:nt Ax+t:nt
(P (Ax:n ) + P (Ax:n
)
ax+t:nt + 2Ax+t:nt
=[Ax+t:nt P (Ax:n )
ax+t:nt ] + [A 1
P (A1 )]
ax+t:nt
x+t:nt

=t V (Ax:n ) +

1
t V (Ax:n ).

46.38 This follows from the previous problem and Problem 46.20.
46.39 24
46.40 4.6362
46.41 5.9055
46.42 14.2857
46.43 14.2857

x:n

61

Section 47
47.1 (a) 0.0533 (b) 0.1251
47.2 We have
kV

(Ax ) =Ax+k P (Ax )

ax+k
(1 d
ax )
a
x+k
=1 d
ax+k
a
x
a
x+k
=1 d
ax+k
+ d
ax+k
a
x
a
x+k
=1
a
x

kV

(Ax ) =Ax+k P (Ax )

ax+k
=P (Ax+k )
ax+k P (Ax )
ax+k
=(P (Ax+k ) P (Ax ))
ax+k

47.3 0.053
47.4 We have

47.5 0.0534
47.6 We have
kV

47.7 0.0534

(Ax ) =Ax+k P (Ax )

ax+k


a
x+k
=Ax+k 1 P (Ax )
Ax+k


P (Ax )
=Ax+k 1
P (Ax+k )

62
47.8 We have
kV

(Ax ) =1
=1

a
x+k
a
x
1Ax+k
d
1Ax
d

1 Ax+k
1 Ax
Ax+k Ax
=
1 Ax
=1

47.9 0.053
47.10 We have
(Ax ) =Ax+k P (Ax )
ax+k

kV

P (Ax )
ax Ax
=Ax+k P (Ax )
ax+k +
k Ex

 

a
x k Ex a
x+k
Ax k Ex Ax+k
=P (Ax )

k Ex
k Ex
!


1
Ax:k
a
x:k
=P (Ax )

k Ex
k Ex
=P (Ax )
sx:k

1
Ax:k
k Ex

47.11 0.053
47.12 We have
P (Ax+k ) =

Ax+k
Ax+k
1
=
=
.
Ax+k )
P (Ax+k )
P (Ax+k ) + d

d1 (1

Thus,


P (Ax )
k V (Ax ) =Ax+k 1
P (Ax+k )
[P (Ax+k ) P (Ax )]Ax+k
=
P (Ax+k )
P (Ax+k ) P (Ax )
=
P (Ax+k ) + d

63
47.13 305.651
47.14 114.2984
47.15 0.0851
47.16 171.985
47.17 4420.403
47.18 0.0042
47.19 0.0826
47.20 0.1587
47.21 0.2757
47.22 0.0138
47.23 629.89
47.24 528.48
47.25 (a) For a fully discrete nyear pure endowment, the insurers prospective loss at time k
(or at age x + k) is:
1
k L(Ax:n )

= nk I(K n) P (Ax:n1 )
amin{(Kk+1,nk)} , k < n

and n L(Ax:n1 ) = 1.
(b) The prospective benefit reserve is

1
Ax+k:nk
P (Ax:n1 )
ax+k:nk
1
)
=
V
(A
k
x:n
1
47.26 0.23426
47.27 8119.54

k<n
k = n.

64
47.28 7.2170
47.29 (a) The prospective formula is
65 )
3 V (15| a

= 12 E68 a
80 P (15| a
65 )
a68:12 .

(b) The retrospective formula is

65 )
3 V (15| a
47.30 k V (n| a
x ) =
47.31 3.3086

P (n| a
x )
ax:n
k Ex

na
x:kn
k Ex

P (15| a
65 )
a65:3
3 E65

65

Section 48
48.1 0.0828
48.2 (a) The k th terminal prospective loss random variable for an nyear term insurance contract
1
1
1
k L(Ax:n ) = Z x+k:nk P (Ax:n )Yx+k:nk .
(b) The k th terminal prospective reserve is given by
kV

1
1
1
(Ax:n
) = Ax+k:nk
P (Ax:n
)
ax+k:nk

48.3 (a) The prospective loss random variable is

(
1
1
Z x+k:nk
h P (Ax:n
)Yx+k:hk
h
1

L(
A
)
=
k
x:n
1
Z x+k:nk

k<h<n
h < k < n.

(b) The k th terminal prospective reserve for this contract

 1
1
Ax+k:nk h P (Ax:n
)
ax+k:hk
h
1

V
(
A
)
=
1
k
x:n

Ax+k:nk

k<h<n
h<k<n

48.4 (a) The prospective loss random variable is

k L(Ax:n )

= Zx+k:nk P (Ax:n )Yx+k:nk .

(b) The k th terminal prospective reserve for this contract

kV

ax+k:nk .
(Ax:n ) = Ax+k:nk P (Ax:n )

48.5 (a) The prospective loss random variable is

Zx+k:nk h P (Ax:n )Yx+k:hk

h

Z
k L(Ax:n ) =
x+k:nk
1

k<h<n
hk<n
k = n.

(b) The k th terminal prospective reserve for this contract is

ax+k:hk
Ax+k:nk h P (Ax:n )
h

A
k V (Ax:n ) =
x+k:nk
1

k<h<n
hk<n
k=n

66
48.6 Recall that under UDD, we have
i
Ax+k:nk = Ax+k:nk + nk Ex+k

Ax:n
A1 + n Ex

= x:n
h P (Ax:n ) =
a
x:h
a
x:h
i 1
A + n Ex
= x:n
a
x:h
i
1
= h P (Ax:n
) + h P (Ax:n1 ).

Thus,
i
ax+k:hk = Ax+k:nk + nk Ex+k
Ax+k:nk h P (Ax:n )

i
1
( h P (Ax:n
) + h P (Ax:n1 ))
ax+k:hk

i
1
= hk V (Ax:n
) + hk V (Ax:n1 ).

48.7 Recall the following expressions:

1
Ax =Ax:k
+ k Ex Ax+k

a
x =
ax:k + k Ex a
x+k .
Thus,
kV

(Ax ) =Ax+k P (Ax )

ax+k
P (Ax )
ax Ax
=Ax+k P (Ax )
ax+k +
k Ex
1

P (Ax )[
ax:k + k Ex a
x+k ] [Ax:k + k Ex Ax+k ]
=Ax+k P (Ax )
ax+k +

k Ex
k Ex
1

A
a

=P (Ax ) x:k x:k

k Ex
k Ex

A1
=P (Ax )
sx:k x:k .
k Ex

67

Section 49
49.1 0.342035
49.2 0.0840
49.3 We will prove (b) and leave (a) to the reader. We have

kV

(m)

(Ax ) k V (Ax ) =P (Ax )

ax+k P (m) (Ax )[(m)
ax+k (m)]
(m)

a
x
a
x+k P (m) (Ax )[(m)
ax+k (m)]
=P (m) (Ax )
a
x
#
"
(m)
a

x
a
x+k (m)
ax+k + (m)
=P (m)
a
x


ax (m)
(m) (m)
=P
a
x+k (m)
ax+k + (m)
a
x


a
x+k
(m)
=(m)P
1
a
x
=(m)P (m) (Ax )k V (Ax ).

49.4 We have

(Ax ) k V (Ax ) P (m) (Ax )

(m) (A
x ) k V (Ax ) = P (m) (Ax ) =
kV

kV

(m)

Ax
(m)
a
x
x
A
(m)
a
x

Ax

Ax
= = i
=
i
Ax
A
x

68
49.5 We have
kV

(m)

(Ax ) =Ax+k P (m) (Ax )

ax+k
(m)

(m)

=Ax+k P (m) (Ax )

ax+k +
(m)

=Ax+k P (m) (Ax )

ax+k +
=P (m) (Ax )

(m)
a
x:k
k Ex
(m)

=P (m) (Ax )
sx:k

1
Ax:k
k Ex
1

Ax:k
k Ex

P (m) (Ax )
ax Ax
k Ex
(m)
(m)
P (m) (Ax )[
ax:k + k Ex a
x+k ]
k Ex

1
[Ax:k
+ k Ex Ax+k ]
k Ex

69

Section 50
50.1 The insurers prospective loss random variable is

0
K(x) < h
PK(x)
hL =
K(x)+1h
jh
bK(x)+1+h
j=h j
K(x) h
50.2 564.46
50.3 1027.42
50.4 30.395
50.5 (a) 30.926 (b) 129.66 (c) 382.44
50.6 255.064
50.7 31.39
50.8 499.102

70

Section 51
51.1 The prospective loss of this contract at time t is


t L = PVFB PVFP =

0
T (x) t
R T (x)
T (x)t
ut
bT (x)
t
u du T (x) > t.

51.2 We have
"
=E[t L|T
(x) > t] = E b(T (x)t)+t T (x)t

T (x)t

t+r r dr|T (x) > t

tV

"
=E bT (x+t)+t T (x+t)

T (x+t)

t+r r dr

bu+t

t+r dr fT (x+t) (u)du


Z 
Z u
r
u
t+r dr u px+t (x + t + u)du
=
bu+t
0
0
Z Z u
Z
u
t+r r dru px+t (x + t + u)du
bu+t u px+t (x + t + u)du
=
Z0
Z0 Z0 u
d
=
bu+t u u px+t (x + t + u)du +
t+r r dr [u px+t ]du
du
Z0
Z0 0
=
bu+t u u px+t (x + t + u)du
t+r r u px+t dr
0

=APV of future benefits APV of future benefit premiums

51.3 95.96
51.4 1055.79
51.5 we have
0 = 0 V =

bu u px (x + u)du
0

u u u px du.

Thus,
Z

t
u

(u u px bu u px (x + u))du =
0

(bu u u px (x + u) u u u px )du.

71
Letting u = t + y on the right integral, we obtain
Z
Z t
u
u
(u u px bu u px (x + u))du =
(bt+y t+y t+y px (x + t + y) t+y t+y t+y px )dy
0
0
Z

t
y
y
= t px
(bt+y y px+t (x + t + y) t+y y px+y )dy
0
Z

y
y
=t Ex
(bt+y y px+t (x + t + y) t+y y px+y )dy .
0

Now, the result follows by dividing both sides by t Ex

72

Section 52
52.1 (a) 564.470 (b) 2000
52.2 324.70
52.3 77.66
52.4 4.33
52.5 0.015
52.6 36657.31
52.7 0.017975
52.8 0.028
52.9 355.87
52.10 For any n, we have
(n V + )(1 + i) = q25+nn+1 V + p25+nn+1 V = n+1 V.
Thus,
34
34
X
X
35n
34n
(n V + )(1 + i)
=
n+1 V (1 + i)
n=0

n=0

which implies
0V

(1 + i)35 +
s35 = 35 V.

But 0 V = 0 and 35 V = a
60 (actuarial present value of future benefits; there are no future premiums).
Thus,
a

= 60 .
s35
Likewise,
19
19
X
X
20n
19n
(n V + )(1 + i)
=
n+1 V (1 + i)
n=0

n=0

73
which implies
0V

(1 + i)20 +
s20 = 20 V.

Hence,

20 V

52.11 5.28
52.12 9411.01
52.13 296.08
52.14 1027.42
52.15 286.04
52.16 (a) 0.091 (b) 101.05

Section 53
53.1 0

a
60
s35


s20 .

74

Section 54
54.1 0.25904
54.2 302.31
54.3 1799.037
54.4 697.27
54.5 495.80
54.6 (a) 0.0505 (b) 110.85

75

Section 55
55.1 The expected value is 0.37704 and the variance is 0.03987
55.2 0.458431
55.3 5.4
55.4 0.1296

76

Section 56
56.1 We have
t qxy

=1 t pxy = 1 t px t py
=1 (1 t qx )(1 t qy )
=1 (1 t qx t qy + t qx t qy )
=t qx + t qy t qx t qy

56.2 We have
Pr[(T (x) > n) (T (y) > n)] =Pr[T (x) > n] + Pr[T (y) > n] Pr[(T (x) > n) (T (y) > n)]
=n px + n py npxn py = n px + n py npxy
56.3 0.2
56.4

1
3

56.5 0.067375
56.6 We have
t qxy

=1 t pxy = 1 t px t py
=1 (1 t qx )(1 t qy )
=1 (1 t qx t qy + t qx t qy )
=t qx + t qy t qx t qy

56.7 0.10969
56.8

n|m qxy

= n+m qxy t qxy = t pxy n+m pxy

56.9 0.03436

77
56.10 We have
qxy =1 1 pxy = 1 (1 1 qx )(1 1 qy )
3

 3
 3
1
1
=1 1 qx
1 qy
3
3
1
1
1
= qx + qy qx qy
3
3
9
1
1
1
1 qxy = qx +
qy qx qy .
2
2
2
4
1
3

Thus,
18 1 qxy 12 1 qxy = 6qx + 6qy 2qx qy 6qx 6qy + 3qx qy = qx qy
3

56.11 0.08
56.12

2
3

56.13 4 108
56.14 0.06
56.15 0.10
56.16 10.42
56.17 12.5
56.18 0.21337
56.19 0.36913
56.20 2.916667
56.21 160.11

78

Section 57
57.1 54.16667
57.2 0.9167
57.3 5.41667
57.4 0.05739
57.5 0.961742
57.6 0.24224
57.7 34
57.8 40.8333
57.9 0.05982
57.10 We have
xy (t) =
=
57.11 0.0023
57.12 13.17
57.13 30.33
57.14 5
57.15 28.5585
57.16 1/14

d
p
dt t xy

t pxy
d
q q
dt t xt y

1 t qxy

=
=

d
q
dt t xy

1 t qxy

t pxt qy (x

+ t) + t pyt qx (y + t)
1 t qxt qy

79

57.17 (a) 0.155 (b) 30

57.18 1.25

80

Section 58
58.1 We have
Cov(T (xy), T (xy)) =E[T (xy) T (xy)] E[T (xy)]E[T (xy)]
=E[T (x)T (y)] E[T (xy)]E[T (x) + T (y) T (xy)]
=E[T (x)T (y)] E[T (x)E[T (y)] E[T (xy)](E[T (x)] + E[T (y)] E[T (xy)])
+E[T (x)E[T (y)]
=Cov(T (x), T (y))
exy (
ex +
ey
exy ) +
ex
ey
=Cov(T (x), T (y)) + (
ex
exy )(
ey
exy )
58.2 3.7
58.3 4.3
58.4 400
58.5 We have
Cov(T (xy), T (xy)) =(
ex
exy )(
ey
exy )
=
ex
ey
exy (
ex +
ey
exy )
=
ex
ey
exy
exy

81

Section 59
59.1 0.6
59.2 0.030873
59.3 We have
1
n qxy

1
n qxy =

59.5 0.0001467
59.6 0.141
59.7

1en
(95x)

59.8 0.0134

t pxy (y

+ t)dt +

59.4 0.0099

10

+ t)dt
Z n
Z n
=
t pxy [(x + t) + (y + t)]dt =
t pxy xy (t)dt
0
Z0 n Z n
=
fT (xy) (t)dt = n qxy
t pxy (x

82

Section 60
60.1 4.2739
60.2 0.9231
60.3 0.06
60.4 0.1345
60.5 11.27
60.6 0.0549
60.7 0.0817
60.8 0.18
60.9 27927.51
60.10 (a) 115,714.29 (b) 14.4P .
60.11 0.38
60.12 600
60.13 0.191

83

Section 61
61.1 12.8767
61.2 12.7182
61.3 5.95238
61.4 4.7
61.5 We know that
a
y =
and
a
xy =
Hence,
a
x|y =

1 Ay

1 Axy
.

1 Ay 1 Axy
Axy Ay

84

Section 62
62.1 0.069944
62.2 1.441188
62.3 0.082667
62.4 1691.92
62.5 0.736

85

Section 63
63.1

ty
36

1
12

63.2 2.75
63.3 We have

fT (x) (tx )fT (y) (ty ) =
63.4 4.4375
63.5 1.6136
63.6 1
63.7

(6n)2 (6+n)
216

63.8 0.8102

1
tx
+
36 12



ty
1
+
36 12


6=

tx + ty
= fT (x)T (y) (tx , ty )
216

86

Section 64
64.1 e0.06t
64.2 (a) We have
( )

fT,J (t, j) = t p50 (j) (x + t) =

j
(50 t)2 , j = 1, 2.
503

P
(b) fT (t) = 2j=1 fT (x),J(x) (t, j) = 5033 (50 t)2 .
R 50
R 50
(c) fJ (j) = 0 fs,J(x) (t, j)ds = 50j 3 0 (50 t)2 dt = 3j , j = 1, 2.
(d) fJ|T (j|t) =

(j) (50+t)
( ) (50+t)

= 13 j, j = 1, 2 64.3 0.12

64.4 11.11
64.5 (a) 0.00446 (b) 1/3
64.6 0.259
64.7 0.0689

87

Section 65
65.1 0.60
65.2 0.4082483
65.3 0.12531
65.4 0.0198
65.5 0.216
65.6 0.644
65.7 0.512195

88

Section 66
(1)

66.1 A decrease of 10 in the value of d26 .

66.2 119
66.3 0.05
66.4 0.0555
66.5 0.2634
66.6 0.0426
66.7 7.6
66.8 803
66.9 0.38

89

Section 67
67.1 0.154103
67.2 0.04525
67.3 0.0205
67.4 0.02214
67.5 25.537
67.6 0.053
67.7 14.1255563
67.8 0.09405
67.9 0.0766
67.10 0.1802

90

Section 68
68.1 3000
68.2 1.90
68.3 1
68.4 53,045.10
68.5 40.41
68.6 457.54
68.7 7841.28

91

Section 69
69.1 18,837.04
69.2 2.5
69.3 120 is payable for the next 10 years and 100 is payable after 10 years
69.4 0
69.5 14.7
69.6 11,194.0199
69.7 922.014

92

Section 70
70.1 19.88
70.2 (a) 10.8915 (b) 17.6572 (c) 6.7657 (d) 104.297 (e) 104.5549 (f) 0.00027
70.3 8.8932
70.4 10.0094
70.5 888.225
70.6 0.472
70.7 445.75
70.8 92.82
70.9 1371.72
70.10 2302.52
70.11 1177.23

93

Section 71
71.1 (a) 23.88 (b) 5.655
71.2 30.88
71.3 (a) 883.9871 (b) 903.9871
71.4 887.145
71.5 4.2379
71.6 G =

100010|20 A30 +20+10a

30:9

0.85
a

30:5

0.15

94

Section 72
72.1 1750.03
72.2 414.82
72.3 16.8421
72.4 Multiplying the equation
( )
k+1 AS`x+k+1

( )

(d)

(w)

= (k AS + G ck G ek )(1 + i)`x+k bk+1 dx+k k+1 CV dx+k .

by k+1 we obtain
k+1 AS

k+1 ( )
`x+k+1

( )

( )

( )

(d)

Using the fact that 0 AS = 0 and summing this telescoping series gives
n ( )
n AS `x+n

n1
X
( )
( )
=
[k+1 AS k+1 `x+k+1 k AS k `x+k ]
k=0
n1
X

=G

(1

( )
ck ) k `x+k

n1
X

( )

ek k `x+k

k=0

k=0

n1
X
(d)
(w)
(bk+1 dx+k + k+1 CV dx+k ) k+1

k=0

72.5

10 AS1

10 AS2 = (G1 G2 )

72.6 1627.63
72.7 1.67

(w)

k AS k `x+k = G(1 ck ) k `x+k ek k `x+k (bk+1 dx+k + k+1 CV dx+k ) k+1 .

P9

k=0 (1

ck )

k9

( )

`x+k
( )

`x+10

95

Section 73
73.1 We have
X

Qn (i, j) =

jE

Pr(Xn+1 = j|Xn = i) = Pr(Xn+1 E|Xn = i) = 1

jE

73.2 The entries in the second row do not sum up to 1. Therefore, the given matrix can not be a
transition matrix.
73.3

0
Q=
1
3

1
2

1
2
2
3

73.4 The transition diagram is

The transition matrix is


Q=

73.5


Qn =

0.8
0.6
px+n
0

0.2
0.4

qx+n
1

( )

(j)

73.6 The transition probabilities are Qn (0, 0) = px+n , Qn (0, j) = qx+n for j = 1, 2, , m, Qn (j, j) =
1 for j = 1, 2, , m, Qn (i, j) = 0 for all other values of i and j
73.7

Q61

0.20 0.10 0.70

1
0
= 0
0
0
1

96

Section 74
74.1 At time t = 1 we have

0.92

0.00
Q=
0.00
At time t = 2 we have

0.8464
2

0.00
2Q = Q =
0.00

0.05
0.76
0.00

0.03
0.24
1.00

0.084
0.5776
0.00

0.0696
0.4224
1.00

At time t = 2 we have

0.778688 0.106160
3

0.00
0.438976
3Q = Q =
0.00
0.00
74.2 (a) 0.70 (b) 0.3125
74.3 0.056
74.4 0.892
74.5 0.0016
74.6 0.489
74.7 4.40

0.115152
0.561024
1.00

97

Section 75
75.1 16.82
75.2 170.586
75.3 1960
75.4 185.11
75.5 0.34
75.6 10,694.64
75.7 160

98

Section 76
76.1 Since N (s) and N (t) N (s) are independent, we have Cov(N (s), N (t) N (s)) = 0. Thus,
Cov(N (s), N (t)) =Cov(N (s), N (s) + N (t) N (s)) = Cov(N (s), N (s)) + Cov(N (s), N (t) N (s))
=Cov(N (s), N (s)) = Var(N (s)) = s
76.2 8.338 104
5

76.3 e6 65!

76.4 E[2N (3) 4N (5)] = 28 and Var[2N (3) 4N (5)] = 88

76.5 We have
Pr(N (t) = k, N (s + t) = n)
Pr(N (s + t) = n)
Pr(N (t) = k, N (s + t) N (t) = n k)
=
Pr(N (s + t) = n)

Pr(N (t) = k|N (s + t) = n) =

nk

et (t)
es (s)
k!
(nk)!
n

e(s+t) [(s+t)]
n!
 
k 
nk
t
s
n
=
k
t+s
t+s
76.6 0.2963
76.7 0.593994
76.8 (a) 0.503 (b) 18805

99

Section 77
77.1 If Sn n then the nth event happens before time t. This means that there are n or more
events in the interval [0, t] which implies that N (t) n
77.2 0.0000393
77.3 The expected value is 1 and the variance is 1/3
77.4 fT5 (t) = 3e3t , t 0
77.5 1/9
77.6 0.6321
77.7 Both expected arrival time are the same.

100

Section 78
78.1 0.0025
78.2 0.2048
78.3 (a) 48 (b)0.04262 (c) 100 minutes
78.4 768
78.5 2,000,000
78.6 0.5
78.7 0.276
78.8 0.1965
78.9 0.55
78.10 0.3859
78.11 0.3679
78.12 210.10
78.13 0.23

101

Section 79
79.1 0.1954
79.2
79.3 0.016
79.4 (a) 3 (b) 1.875
79.5 0.03642
79.6 93.55

102

Section 80
80.1 The mean is 225,000 and the variance is 45,000,000
80.2 29
80.3 The mean is 25 and the variance is 215/3
80.4 The mean is 40,000 and the variance is 160,000,000
80.5 (a) 100,000,000 (b) 0.0228
80.6 0.6712