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Analytic expressions for annuities based on Makeham–Beard mortality laws

Published online by Cambridge University Press:  28 April 2020

David C. Bowie*
Affiliation:
Hymans Robertson LLP, Exchange Place One, 1 Semple Street, Edinburgh, EH3 8BL, UK
*
*Corresponding author. E-mail: david.bowie@hymans.co.uk

Abstract

This note derives analytic expressions for annuities based on a class of parametric mortality “laws” (the so-called Makeham–Beard family) that includes a logistic form that models a decelerating increase in mortality rates at the higher ages. Such models have been shown to provide a better fit to pensioner and annuitant mortality data than those that include an exponential increase. The expressions derived for evaluating single life and joint life annuities for the Makeham–Beard family of mortality laws use the Gauss hypergeometric function and Appell function of the first kind, respectively.

Type
Paper
Copyright
© Institute and Faculty of Actuaries 2020

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