• The Korean Journal of Applied Statistics
• /
• v.21 no.5
• /
• pp.739-754
• /
• 2008

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.

• The Korean Journal of Applied Statistics
• /
• v.21 no.6
• /
• pp.1045-1063
• /
• 2008

This paper derives conversion formulas from yearly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under FI (fractional age independence) assumption that is a generalization of UDD assumption. Next, it suggests conversion formulas from monthly-based absoluterates of decrements to monthly-based rates of decrement due to cause j under FI assumption. In addition, it calculates conversion formulas from yearly-based rates of decrement due to cause j to the corresponding monthly-based absolute rates of decrements under FI assumption. Some numerical examples are discussed.

• Communications for Statistical Applications and Methods
• /
• v.16 no.1
• /
• pp.85-102
• /
• 2009

This paper derives conversion formulas from yearly-based absolute rates of decrements to monthly-based rates of decrement due to cause J under fractional age distributions. Next, it suggests conversion formulas from monthly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under fractional age distributions. In addition, it applies the conversion formulas including a dynamic lapse rate model to variable annuities. Some numerical examples are discussed.