On the distribution of stochastic life annuities with application to Philippine mortality data

Date of Publication

2009

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Statistics Major in Actuarial Science

Subject Categories

Statistics and Probability

College

College of Science

Department/Unit

Mathematics and Statistics

Thesis Adviser

Isagani B. Jos

Defense Panel Chair

Regina Tresvalles

Defense Panel Member

Shirlee Ocampo
Paolo Bautista

Abstract/Summary

In the area of life contingencies, life annuities are computed by treating mortality as a random variable and the force of interest as a constant. However, the financial environment in which the annuity is exposed in can change the rate of interest because of inflations and investment failures. This is further emphasized by the length of time life annuities take place in, which is usually in decades.

Stochastic life annuities were introduced to quantify the added risk incurred by insurance companies by treating the force of interest to be random as well. Different techniques were devised to determine the distribution of this type of annuity but recently, the concept of comonotonicity was introduced to actuarial applications in which sums of products of random variables are ordered to approximate the distribution of life annuities.

This paper gives emphasis to the said methodology and aims to give explanations and proofs to the theorems used in determining convex bounds for stochastic life annuities. Moreover, application of these concepts to Philippine mortality data is discussed by comparing stochastic life annuities to traditional life annuities. Further analyses made in the paper showed that life annuities assuming a stochastic force of interest give higher returns compared to the constant interest example, which would have implications for the existing life annuity business.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU15126

Shelf Location

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

Physical Description

viii, 117, [18] leaves, illustrations, 28 cm.

Keywords

Life annuities--Philippines--Mathematical models; Mortality -- Philippines--Mathematical models; Mortality--Philippines--Forecasting; Mortality--Philippines

Embargo Period

4-4-2021

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