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ACTL30002 Actuarial Modelling
COVER SHEET Instructions for submission 1. This assignment contributes 15% of the total university assessment in this subject. Please follow these instructions carefully. Penalties will be imposed for failure to comply with them. 2. All steps of calculation must be clearly shown. Explanatory notes on how you conduct the calculation in your excel file is necessary. Your solutions do not have to be typed; nevertheless, handwriting that is very difficult to read may not be marked. Please refrain from using a red pen anywhere in the assignment. 3. Please indicate your student ID number clearly in your file names, e.g., idnumber.pdf and idnumber.xlsx 4. Attach this cover sheet on top of your solutions, and then submit your typed or scanned solutions in PDF format together with your programming file and/or Excel spreadsheet to Canvas by 5:00pm on Friday 21 April 2023. 5. I assume you already knew how to make a submission on Canvas. Please note that the due time for this assignment is sharp. Penalties will apply to any late submissions. If you are unable to submit on time, please contact FBE to make an official application for late submission. I am not authorized to grant submission extensions. 6. If you have any questions about this assignment, please post them to LMS under the tag of “Discussions”. Kindly note that I do not respond to assignment-related questions via email. 7. This is an individual assignment. Please sign below to declare that your work does not involve plagiarism or collusion among different students. I declare that this assignment is my own work and does not involve plagiarism or collusion with other students. Student Number Name in Full Signature Plagiarism is the presentation by a student of an assignment which has in fact been copied in whole or in part from another student’s work, or from any other source (e.g. published books or periodicals), without due acknowledgement in the text. Collusion is the presentation by a student of an assignment as his or her own which is in fact the result in whole or part of unauthorised collaboration with another person or persons. Question One (1+2+1+2=6 marks) AAA Life Insurance Company is conducting an investigation into its customer age structure. The Excel file “Assignment1Q1data.xlsx” contains the customer ID, birthdays, and policy effective dates. Determine the age label for each customer based on the following age definitions: (a) At 1 January 2023, assuming all customers are alive, determine their age label based on “age last birthday.” (b) At 1 January 2023, assuming all customers are alive, determine their age label based on “age last birthday at the previous policy anniversary.” (c) At 1 July 2023, assuming all customers are alive, determine their age label based on “age next birthday.” (d) At 1 July 2023, assuming all customers are alive, determine their age label based on “age next birthday at the previous policy anniversary.” Question Two (2+4+5=11 marks) Man Life is an insurance company which only sells life insurance to males. It has recently bought another smaller company called Mixed Life which sells business to both males and females. The company is reviewing the premium rates it charges for life insurance. Man Life has records of the number of policies in force at their year end, which is 31 December, recorded by age next birthday. Mixed Life has records of the number of policies in force on 31 December each year recorded by age last birthday for males and age nearest birthday for females. These are the data for the most recent years. Man Life Age last Number of policies Number of policies Number of policies birthday 31 Dec. 2015 31 Dec. 2016 31 Dec. 2017 49 4,789 4,296 4,367 50 4,953 5,009 4,809 51 5,300 5,186 5,902 Mixed Life Males Age next Number of policies Number of policies Number of policies birthday 31 Dec. 2015 31 Dec. 2016 31 Dec. 2017 49 1,832 1,650 1,698 50 1,800 1,750 1,550 51 1,966 1,756 1,569 Mixed Life Females Age nearest Number of policies Number of policies Number of policies birthday 31 Dec. 2015 31 Dec. 2016 31 Dec. 2017 49 1,602 1,568 1,639 50 1,506 1,497 1,508 51 1,610 1,587 1,411 (a). Calculate the central exposed to risk of the combined portfolio for males aged 50 next birthday for the calendar year 2016, stating each assumption you make at the point where you make it. (b). Calculate the central exposed to risk of the combined male and female portfolio for persons aged 50 next birthday for the calendar year 2016, stating each assumption you make at the point where you make it. (c). By a careful review on the policy documentary, Mixed Life just realized that the previous record of date was wrong! The correct date should be 30 September in each year for both males and females. Calculate the contribution to central exposed to risk in (a) and (b). Hint: This question is revised from Question 11 in CT4 2018 September exam at Institute and Faculty of Actuaries (IFoA, past exam papers with solutions can be found here), you are encouraged to borrow ideas from there. Question Three (13 marks) The excel “Assignment1Q3data.xlsx” contains deaths θx, initial ETR Ex, and standard table qx by age for lives between ages 0 and 80. Both deaths and initial ETR calculated are based on “age last birthday” definition of age. Perform Chi-squared test, individual standardized deviations test, cumulative deviations test, signs test, runs test in Unit Two to compare actual death rates with those of the standard table and comment on the results. Note: you need to combine the age groups such that the expected number of deaths is greater than or equal to 5; in chi-squared test, you should not use the approximation that px=1; the default significance level is 0.05; as for other testing specifications, such as the ranges in the individual standardized deviations test, the age ranges in the cumulative deviations test, whether or not to use normal approximation in runs test, you are allowed to make appropriate decisions on your own but remember to present your specifications clearly in your descriptions and conclusions.