Uniform Distribution of Deaths, Fractional Independence, and Negative Payment-Frequency*

Under the assumption of a uniform distribution of deaths (UDD), the expected present value of a life annuity with level payments payable m times a year can be expressed in terms of that payable once a year, together with some quantities that depend on interest only. By studying the expected annuity cashflows in the year of death, we determine the financial meaning of these interest-only quantities. Our analysis can be extended to the more general assumption of fractional independence (FI). Under the FI assumption, we express premium and reserve formulas for insurance with premiums payable m times each year in terms of those with premiums payable only once each year. We also discuss an intriguing concept called negative payment-frequency.

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Publication Details

Journal
North American Actuarial Journal
Published
2024-08-22
DOI
https://doi.org/10.1080/10920277.2024.2385384
Primary Topic
Insurance, Mortality, Demography, Risk Management
Type
article
Field-Weighted Citation Impact
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article

Uniform Distribution of Deaths, Fractional Independence, and Negative Payment-Frequency*

Hans U. Gerber, Elias S. W. Shiu
North American Actuarial Journal
Insurance, Mortality, Demography, Risk Management
article

Uniform Distribution of Deaths, Fractional Independence, and Negative Payment-Frequency*

Hans U. Gerber, Elias S. W. Shiu
article en

Abstract

Under the assumption of a uniform distribution of deaths (UDD), the expected present value of a life annuity with level payments payable m times a year can be expressed in terms of that payable once a year, together with some quantities that depend on interest only. By studying the expected annuity cashflows in the year of death, we determine the financial meaning of these interest-only quantities. Our analysis can be extended to the more general assumption of fractional independence (FI). Under the FI assumption, we express premium and reserve formulas for insurance with premiums payable m times each year in terms of those with premiums payable only once each year. We also discuss an intriguing concept called negative payment-frequency.

North American Actuarial JournalVol. 29(2)
University of Iowa (US), Actuarial Foundation (US), University of Lausanne (CH)
Openalex Percentile: Top 76%
Insurance, Mortality, Demography, Risk Management
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