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Integral Equations: Some Applications to Actuarial Science

Published online by Cambridge University Press:  07 November 2014

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1. The theory of Integral Equations, which is an important branch of the wider theory of Functionals, has been developed by mathematicians during the past 60 years. Many valuable applications of these equations have been made in various branches of applied mathematics, including economics, biology, and especially physics. It is believed, too, that they may not be entirely void of interest to the actuary. In this paper, therefore, a brief discussion of integral equations is given, and various problems involving their use are considered. It may be that some of these problems will be thought artificial, or trivial, or both. The writer would request, however, that the examples be regarded as illustrative only. If any of them should suggest new and more important problems to actuaries, or if the methods developed herein should prove of value in the solution of present problems, the purpose of this paper will be achieved.

Type
Research Article
Copyright
Copyright © Institute and Faculty of Actuaries 1948

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References

page 139 note * When ϕ(x) depends on every value of a function K(x,t) in the range ≤t ≤β is said to be a functional of the function K. In the above equation ϕ is also a function of x in the usual sense.

page 141 note * i.e. that we can find a positive number M such that |K(x,t)| ≤M for all values of x and t in the range considered.

page 146 note * Using the formula if a, β are functions of x. If β, or a, or both, are independent of x, the first, or the second, or both terms, are (respectively) omitted.

page 151 note * See Whittaker and Watson, Modern Analysis, chap. 15.

page 158 note * may be the usual survivance probability, if death is the only cause of exit, or it may be based on a service table, if withdrawals, etc., are also considered.

page 160 note * For, treating the integral as the limit of a sum, we would have p linear equations (corresponding to p values of T in the range 0, T0) and pq unknown terms l(xq, tp) corresponding to the p values of T and the q values of x into which the range (a, b) is divided. There are therefore insufficient equations to determine the unknowns and this remains true when p and q tend to infinity.

page 160 note * The conditions associated with the benefit, as regards number of children, etc., will determine the precise definition of the force i.

page 161 note * For the singular value, λ= 1/A, is greater than 1, A being of the nature of a single premium, allowing for interest, for a contingent benefit of 1.