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  • Variance of Loss Functions for Term, Pure Endowments and Regular Endowments
    Variance ... fCov (L2, L3) -< 0. Proof. Let S = var L~ - var L: - var L 3 .'. S = var L 1 - var L~ - vat L 1 ... 2 - E2)(L 3 - E3) ] = -2 cov(L2, L 3) and S>0 only i fcov (L2, L0-<0 q.e.d. CASE 1 - Single ...

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    • Authors: John A Mereu
    • Date: Jan 1995
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Publication Name: Actuarial Research Clearing House
    • Topics: Finance & Investments>Risk measurement - Finance & Investments; Life Insurance>Term life