Journal of Statistical Science and Application, April 2015, Vol. 3, No. 5-6, 85-100 doi: 10.17265/2328-224X/2015.56.003 Life Annuities Calculation in Algeria: Continuous Time Approach Farid FLICI * Researcher in Center of Research in Applied Economics for Development, Rue Djamel Eddine El-Afghani- El Hammadia BP.197, Rostomia, Bouzaèah – Alger, Algérie. The present paper aims to show the impact of continuous time calculation on life insurance pricing and reserving in the Algerian context. The discrete time approach allows insurance companies to facilitate calculation process but with less accuracy. This approach implies constancy of death quotients during a year. However, the death risk is a continuous function in time. For more accuracy and equity in pricing, calculation needs to consider the exact dates of different payments and also a continuous capitalization process. This gives more adequate premium with fewer hypotheses. This work shows how insurers can propose more adequate pricing using the same actuarial life table. Keywords: Life annuities, life table, continuous time, fitting, extrapolating, Algeria. Introduction Life insurance allows all individual to secure himself or his family members against specific risks. For insurers, the inquietude of the individuals represents an opportunity to take benefits if they accept premiums paid by individuals and engages to pay them the contracted indemnity. To better manage his engagement, the insurer must better estimate the supported risk especially for long period contracts. Principally two parameters must be taken in calculation: interest rate and life table. In practice, a series of contributions are paid during the period of activity, entitling the insured to see an annuity generally taking effect with the age of retirement until death. In such logic, segmentation automatically arises between the phase of capital formation and phase of the annuity payments. The transition from one phase to the other undergoes the principle of equivalence between subscriptions and pensions. This equivalence is based on two factors: a life factor and other financial. The first factor referred to the fact that the terms of the annuity shall be paid only for the survivors to the date of payment, which involves the survival function of the insured. The second factor is related to the investment of contributions and which involves the use of a technical interest rate defined as a security measure, below the rate of investment in the market. For the case of the Algerian insurance market, the law 06-04 of 20 th February 2006 obliged to separate between life and non-life activities. Because of this decision, all companies might take in equilibrium their activities superlatively in life and non-life branches. So, life insurers were obliged to be more efficient in premiums / Reserves calculation. By the amplification of the number of life insures companies in the Algerian markets these last years, the challenge is to propose adequate contract while controlling the insured risk. Farid FLICI, Researcher in Center of Research in Applied Economics for Development, Rue Djamel Eddine El-Afghani- El Hammadia BP.197, Rostomia, Bouzaèah – Alger, Algérie. E-mail: farid.flici@cread.edu.dz. DAVID PUBLISHING D