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Withdrawal Benefits under a Dependent Double Decrement Model

Published online by Cambridge University Press:  29 August 2014

Jacques F. Carriere
Jacques F. Carriere*
Affiliation:
Dept. of Mathematical Sciences, University of Alberta
*
Dept. of Mathematical Sciences, University of Alberta, Edmonton, Alberta, CanadaT6G 2G1
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Abstract

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This article presents an explicit formula for the value of a withdrawal benefit when the times of death and withdrawal are dependent. The derivation is based on an actuarial equivalence principle. As a special case, we show that in the fully continuous case, the withdrawal benefit is the reserve when the decrements are independent. We also present a definition of antiselection and prove that the withdrawal benefit will be smaller under antiselection.

Keywords

Dependent decrement theorywithdrawal benefitsantiselectionthe equivalence principlevarying life insurance
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 28 , Issue 1 , May 1998 , pp. 49 - 57
Copyright
Copyright © International Actuarial Association 1998

References

REFERENCES

Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A. and Nesbitt, C.J. (1986). Actuarial Mathematics. Society of Actuaries: Schaumburg, Illinois.Google Scholar
Carriere, J.F. (1994). “Dependent decrement theory.” Transactions: Society of Actuaries, XLVI, 45–73.Google Scholar
Nesbitt, C.J. (1964). Discussion of “A Statistical Approach to Premiums and Reserves in Multiple Decrement Theory.” Transactions: Society of Actuaries, XVI, Part I, 149–153.Google Scholar