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HomeWork #1

FM5032_HW1.doc
withdrawal.txt
lapse.txt
HWscens1.txt
SC.txt

Here are my solutions

HW1_solution.xls

Comments

hi,Gary, could you please tell me some accounting regulation of unrealized capital? And what does M&E stand for? Thanks very much.

The appropriate accounting rule in the U.S. is FAS 115.

http://www.fasb.org/pdf/fas115.pdf

M&E stands for Mortality and Expense

I could not find SC.txt. Thanks.

I am sorry. I have uploaded it now.

Hi Gary, I am not really sure about some notation such as benefit base, excess death benefit and excess withdrawal benefits. Could you mind say something about it or recommend some reference for us? Thanks

OK, here is a shot:

Benefit Base is just the total of amount of withdrawals that is guaranteed.

Excess Death Benefits is the amount of death benefit paid that is larger than the AV. From the single policy holder perspective, it is ExcessDB(t) = Max(GMDB(t-1) - (AV(t-1)*(TR(t)/TR(t-1))- charges),0)

Excess Withdrawals(t) = Max(Withdrawls(t) - (AV(t-1)*(TR(t)/TR(t-1)) - charges),0)