Actuarial applications of the linear hazard transform in life contingencies

作者：Tsai Cary Chi Liang^*; Jiang Lingzhi

来源：Insurance: Mathematics and Economics , 2011, 49(1): 70-80.

DOI：10.1016/j.insmatheco.2011.01.009

• alpha-power approximation
• Fractional age assumptions
• Proportional hazard transform
• Linear hazard transform
• Macaulay duration
• Modified duration
• Dollar duration

In this paper, we study the linear hazard transform and its applications in life contingencies. Under the linear hazard transform, the survival function of a risk is distorted, which provides a safety margin for pricing insurance products. Combining the assumption of alpha-power approximation with the linear hazard transform, the net single premium of a continuous life insurance policy can be approximated in terms of the net single premiums of discrete ones. Moreover, Macaulay duration, modified duration and dollar duration, all measuring the sensitivity of the price of a life insurance policy to force of mortality movements under the linear hazard transform, are defined and investigated. Some examples are given for illustration.

• 出版日期2011-7