Journal article
Uniform Distribution of Deaths, Fractional Independence, and Negative Payment-Frequency
North American actuarial journal, Vol.29(2), pp.478-493
04/03/2025
DOI: 10.1080/10920277.2024.2385384
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.
Details
- Title: Subtitle
- Uniform Distribution of Deaths, Fractional Independence, and Negative Payment-Frequency
- Creators
- Hans U. Gerber - University of LausanneElias S. W. Shiu - University of Iowa
- Resource Type
- Journal article
- Publication Details
- North American actuarial journal, Vol.29(2), pp.478-493
- DOI
- 10.1080/10920277.2024.2385384
- ISSN
- 1092-0277
- eISSN
- 2325-0453
- Publisher
- Taylor & Francis
- Number of pages
- 16
- Language
- English
- Electronic publication date
- 08/03/2024
- Date published
- 04/03/2025
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984701757802771
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