Abstract
Traditionally, the mortality tables used in life insurance have margins of safety built into them, and profit can, therefore, be expected to emerge over the life of a portfolio of business. In this paper life insurance policies are modelled by means of time-inhomogeneous Markov chains, and the paper examines some of the stochastic properties of the gains attributable to the various forces of transition. A reversionary annuity serves as an illustrating example.
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