Multiple Decrement Models in Insurance An Introduction Using R
Authors:

• Shailaja Deshmukh
  

ISBN: 978-81-322-0658-3 (Print) 978-81-322-0659-0
1 Multiple Decrement Models ....................... 1
1.1 Introduction ............................. 1
1.2 Time to Decrement and Cause of Decrement Random Variables . . 3
1.3 Multiple Decrement Table . . . ................... 22
1.4 Associated Single Decrement Model ................ 29
1.5 Exercises............................... 48
2 Premiums and Reserves in Multiple Decrement Model ........ 53
2.1 Introduction ............................. 53
2.2 Actuarial Present Value of Benefit .................. 54
2.3 ComputationofPremiums...................... 58
2.4 ComputationofReserves ...................... 75
2.5 Exercises............................... 79
3 Defined Benefit Pension Plan ...................... 81
3.1 Introduction ............................. 81
3.2 Actuarial Present Value of Pension Benefit ............. 84
3.3 Exercises...............................128
4 Pension Funding .............................131
4.1 Introduction .............................131
4.2 Accrued Benefit Cost Method for an Individual . . .........132
4.3 Accrued Benefit Cost Method for a Group .............143
4.4 AggregateActuarialCostMethod..................163
4.5 Exercises...............................171
5 Multi-state Transition Models for Cash Flows .............173
5.1 Introduction .............................173
5.2 MarkovChain ............................174
5.3 ActuarialPresentValuesofCashFlows...............179
5.4 Markov Process Model .......................189
5.5 Exercises...............................201
6 Stochastic Interest Rate .........................205
6.1 Introduction .............................205
6.2 Random Interest Scenario . . . ...................205
6.3 Parametric Models ..........................209
6.4 Time Series Models .........................212
6.5 Exercises...............................215
References ...................................217
Index ......................................219