The bounds of bivariate distributions on joint-life and last-survivor annuities

Date of Publication

1995

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Mathematics

College

College of Science

Department/Unit

Mathematics and Statistics

Abstract/Summary

This thesis is based on the paper entitled The Bounds of Bivariate Distributions that limit the value of last survivor annuities by Jacques F. Carriere and Lai K. Chan. The first two chapters are devoted to a review of basic probability concepts and actuarial mathematics concepts involving one life. Chapter three is a discussion on multiple life functions, specifically, the joint-life and last-survivor statuses. Chapter four is a detailed discussion of the above mentioned paper which is primarily on the effects of the dependence assumption on actuarial calculations.In this paper, we showed the effects on some actuarial functions namely axy which is the immediate annuity payable until the first death, and axy which is hte immediate annuity payable until the second death given different measures of association which are defined to be p = -1, p= 0, and p = 1. In relation to this a general bivariate model as well as its properties are discussed thoroughly. Moreover, a discussion on mixtures of distributions with given properties is also incorporated in this paper. This includes a special case of this class of distributions that is used for a simplified computation of probability and annuity functions. In addition to this, the change in the interest assumption that would give an annuity value equal to the change in the correlation from p = 0 to p = -1 or p = 1 are examined.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU07061

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

344 leaves

Keywords

Distribution (Probability theory); Insurance, Life--Mathematics; Probabilities; Annuities

This document is currently not available here.

Share

COinS