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MATH20962 Jon FernsFIA Jon.ferns@btinternet 07789 487 194 Version 24 Match 2014

University of Manchester Contingencies 1 Lecture week 9 26 March 2014 “Reserves and Death Strain At Risk”. MATH20962 Jon FernsFIA Jon.ferns@btinternet.com 07789 487 194 Version 24 Match 2014. Course syllabus. Reserves. When is t V calculated?. Time t-1. Time t. Time t+1.

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MATH20962 Jon FernsFIA Jon.ferns@btinternet 07789 487 194 Version 24 Match 2014

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  1. University of ManchesterContingencies 1Lecture week 926 March 2014“Reserves and Death Strain At Risk” MATH20962 Jon FernsFIA Jon.ferns@btinternet.com 07789 487 194 Version 24 Match 2014

  2. Course syllabus

  3. Reserves

  4. When is tV calculated? Time t-1 Time t Time t+1 Benefit payment (and related expenses) Premium payment (and related expenses) tV

  5. Prospective reserves

  6. Why hold reserves?

  7. Retrospective reserves

  8. Retrospective reserves (example continued)

  9. When are retrospective and prospective reserves equal?

  10. Example proof of equivalence of reserves (1) (when basis the same throughout)

  11. Example proof of equivalence of reserves (2) (when basis the same throughout)

  12. Recursive relationship of reserves

  13. Example proof of recursive formula

  14. Quiz

  15. Net Premium Reserves

  16. But first….. a recap on formula

  17. Net Premium Reserves (prospective)

  18. Net Premium Reserve Notation

  19. Actual Death Strain (ADS)

  20. Death Strain at Risk, Sum at Risk

  21. DSAR, mortality profit for a 1 year life cover

  22. DSAR, mortality profit for a pure endowment

  23. DSAR, mortality profit for annuities

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