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R Programming for Actuarial Science
book

R Programming for Actuarial Science

by Peter McQuire, Alfred Kume
October 2023
Intermediate to advanced content levelIntermediate to advanced
640 pages
16h 23m
English
Wiley
Content preview from R Programming for Actuarial Science

24 Contingencies II

Peter McQuire

24.1 Introduction

This chapter follows on directly from Chapter 23; it is assumed that the reader has some familiarity with this subject matter (Life Contingencies), and with most of the terms used. Before proceeding with the material below the reader should familiarise themselves with the material in that chapter.

We start the chapter with a discussion on the uncertainty of present values of life contingent benefits, and the resulting probability distributions of both individual policies and portfolios; in the previous chapter we concerned ourselves principally with the expected present value of such benefits. By calculating appropriate premiums we can then determine the distribution of profits from selling such policies. We proceed to analyse how profits typically emerge throughout the term of policies, and how, by calculating policy values and setting up reserves, we can minimise the likelihood of having insufficient assets to pay benefits under these policies. We close the chapter by looking at unit-linked assurance policies.

Whilst a brief discussion is included on key subject matter, the emphasis in this chapter is to run code for key tasks, analyse results, and suggest additional tasks in the form of exercises which often require developing previous code. A comprehensive theoretical study of all topics relating to Life Contingencies cannot be undertaken ...

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Publisher Resources

ISBN: 9781119754978Purchase Link