کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077039 | 1374114 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Actuarial applications of the linear hazard transform in life contingencies
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we study the linear hazard transform and its applications in life contingencies. Under the linear hazard transform, the survival function of a risk is distorted, which provides a safety margin for pricing insurance products. Combining the assumption of α-power approximation with the linear hazard transform, the net single premium of a continuous life insurance policy can be approximated in terms of the net single premiums of discrete ones. Moreover, Macaulay duration, modified duration and dollar duration, all measuring the sensitivity of the price of a life insurance policy to force of mortality movements under the linear hazard transform, are defined and investigated. Some examples are given for illustration.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 1, July 2011, Pages 70-80
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 1, July 2011, Pages 70-80
نویسندگان
Cary Chi-Liang Tsai, Lingzhi Jiang,