Actuarial Outpost m-thly UDD annuities question
 User Name Remember Me? Password
 Register Blogs Wiki FAQ Calendar Search Today's Posts Mark Forums Read
 FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

 Upload your resume securely at https://www.dwsimpson.com to be contacted when new jobs meet your skills and objectives.

 Long-Term Actuarial Math Old Exam MLC Forum

 Thread Tools Search this Thread Display Modes
#1
03-02-2019, 07:11 PM
 BartimaeusOfUruk SOA Join Date: Nov 2017 Location: Iowa Studying for FAP Posts: 20 Blog Entries: 3
m-thly UDD annuities question

Under the UDD assumption we know:
-> a-double dot (m) = alpha(m)*a-double dot - beta(m)

Is there another relationship between like this one for the second moment of a monthly annuity under the UDD assumption?

Thanks so much!
#2
03-03-2019, 01:00 AM
 Jim Daniel Member SOA Join Date: Jan 2002 Location: Davis, CA College: Wabash College B.A. 1962, Stanford Ph.D. 1965 Posts: 2,716

Quote:
 Originally Posted by BartimaeusOfUruk Under the UDD assumption we know: -> a-double dot (m) = alpha(m)*a-double dot - beta(m) Is there another relationship between like this one for the second moment of a monthly annuity under the UDD assumption? Thanks so much!
Why would you want this, when the variance of the a-double-dot(m) random variable looks just like the formula for the variance when m = 1, except you put a superscript m on every term?
__________________
Jim Daniel
Jim Daniel's Actuarial Seminars
www.actuarialseminars.com
jimdaniel@actuarialseminars.com
#3
03-05-2019, 07:02 PM
 BartimaeusOfUruk SOA Join Date: Nov 2017 Location: Iowa Studying for FAP Posts: 20 Blog Entries: 3

I'm unable to find the variance of a monthly annuity given a-double dot, the second moment of a-double dot, and the interest rate. Could you elaborate on the formula you are mentioning please? Thanks so much.
#4
03-05-2019, 07:18 PM
 Jim Daniel Member SOA Join Date: Jan 2002 Location: Davis, CA College: Wabash College B.A. 1962, Stanford Ph.D. 1965 Posts: 2,716

Quote:
 Originally Posted by BartimaeusOfUruk I'm unable to find the variance of a monthly annuity given a-double dot, the second moment of a-double dot, and the interest rate. Could you elaborate on the formula you are mentioning please? Thanks so much.
I meant the formula for the variance in terms of Ax and double-force Ax and the discount rate d. Just replace each by its mthly version.

When you say you are given "the second moment of a-double dot", do you really mean the second moment? I suspect that you mean that you are given double-force a-double dot, which is quite different, from which you can easily get double-force A. And are you given these for annual annuities or mthly annuities? I need to know exactly what you're given. Perhaps you could state the problem precisely.
__________________
Jim Daniel
Jim Daniel's Actuarial Seminars
www.actuarialseminars.com
jimdaniel@actuarialseminars.com

 Thread Tools Search this Thread Search this Thread: Advanced Search Display Modes Linear Mode

 Posting Rules You may not post new threads You may not post replies You may not post attachments You may not edit your posts BB code is On Smilies are On [IMG] code is On HTML code is Off

All times are GMT -4. The time now is 08:46 PM.

 -- Default Style - Fluid Width ---- Default Style - Fixed Width ---- Old Default Style ---- Easy on the eyes ---- Smooth Darkness ---- Chestnut ---- Apple-ish Style ---- If Apples were blue ---- If Apples were green ---- If Apples were purple ---- Halloween 2007 ---- B&W ---- Halloween ---- AO Christmas Theme ---- Turkey Day Theme ---- AO 2007 beta ---- 4th Of July Contact Us - Actuarial Outpost - Archive - Privacy Statement - Top

Powered by vBulletin®
Copyright ©2000 - 2019, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.18508 seconds with 11 queries