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http://dx.doi.org/10.5351/KJAS.2008.21.5.739

Generalized Conversion Formulas between Multiple Decrement Models and Associated Single Decrement Models  

Lee, Hang-Suck (Dept. of Actuarial Science/Mathematics, Sungkyunkwan University)
Publication Information
The Korean Journal of Applied Statistics / v.21, no.5, 2008 , pp. 739-754 More about this Journal
Abstract
Researches on conversion formulas between multiple decrement models and the associated single decrement models have focused on calculating yearly-based conversion formulas. In practice, actuaries may be more interested in monthly-based conversion formulas. Multiple decrement tables and their associated single decrement tables consist of yearly-based rates of multiple decrements and absolute rates of decrements, respectively. This paper derives conversion formulas from yearly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under the uniform distribution of decrements(UDD). Next, it suggests conversion formulas from monthly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under UDD. In addition, it calculates conversion formulas from yearly-based rates of decrement due to cause j to the corresponding absolute rates of decrements under UDD or constant force assumption. Some numerical examples are discussed.
Keywords
Absolute rates of decrements; rates of decrement due to cause j; uniform distribution of decrements; constant force assumption;
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