Variance of present value of loss at duration t for whole life insurance — varLtx • mqriskR

Computes the Chapter 10 conditional variance \(\mathrm{Var}({}_tL_x \mid K_x \ge t)\) for a fully discrete whole life insurance.

Usage

varLtx(x, t, i, P, model, ...)

Arguments

x: Issue age.
t: Duration.
i: Effective annual interest rate.
P: Annual premium.
model: Survival model.
...: Additional model parameters.

Value

Numeric vector.

Examples

prem <- Px(40, i = 0.05, model = "uniform", omega = 100)
varLtx(40, t = 10, i = 0.05, P = prem, model = "uniform", omega = 100)
#> [1] 0.12875