Actuarial Outpost > Life LIME recalculating a table
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#1
03-14-2019, 06:01 PM
 1695814 Member SOA AAA Join Date: Aug 2002 Studying for nothing. I quit. Favorite beer: Root Posts: 36,720
LIME recalculating a table

In the 2nd edition of "LIFE INSURANCE & MODIFIED ENDOWMENTS Under Internal Revenue Code Sections 7702 and 7702A" by Desrochers et al...

On page 25, table 2.1 NSP per \$1,000...

I'm trying to manually recalculate that myself...just because and for other reasons.

I'm not matching up, though.

From the SOA (https://mort.soa.org/), I used table #1136, "2001 CSO Select and Ultimate – Male Composite, ANB
2001 Commissioners Standard Ordinary (CSO) Select and Ultimate Table - Male Composite. Basis: Age Nearest Birthda"

I used an interest rate of 4% & endowed the thing at age 100.

Did I use the correct mortality table? The book says "2001 CSO male aggregate, ANB, endowment at 100, 4%, curtate".

tqx is just the product of all the previous tpx's * that year's mortality, right?

Anyway, if you can see what I'm doing wrong or just plain know how to set it up, I'd love to know how.

Thanks,
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#2
03-15-2019, 09:30 AM
 urysohn Member Join Date: Feb 2010 Posts: 16,961

What was the book's table value for age 25? (I only have the first edition available)

I get \$144.15 for the NSP using the assumptions you listed. If you got something just higher, I'd check the endowment age. You want q(99)=1.

When I calc NSPs, I use a simple mental exercise which translates into a formula. I picture a binary tree:
"If you live, you get next year's NSP. If you die, you get the death benefit. Either way, you discount it back to the beginning of the year"

Formulaically, if I'm coding this into cell C50 for example, I'd have: ((1-B50)*C51+B50*1)/(1+INTRATE)
where column B has my q's.
I always code it first for the omega age, then copy up. Unnecessary, but part of my mental exercise keeping the recursive nature of the formula in mind.

Last edited by urysohn; 03-15-2019 at 09:39 AM..
#3
03-15-2019, 11:44 AM
 1695814 Member SOA AAA Join Date: Aug 2002 Studying for nothing. I quit. Favorite beer: Root Posts: 36,720

The book has an NSP of 147.21 for age 25.

Here are all the #s:
25, 147.21
35, 206.64
45, 291.24
55, 402.11
65, 534.82

Just in case it wasn't clear in the OP, here are the listed Assumptions: "2001 CSO male aggregate, ANB, endowment at 100, 4%, curtate"

Last edited by 1695814; 03-15-2019 at 12:00 PM..
#4
03-15-2019, 12:24 PM
 Sleeping Dragon Member Join Date: Jun 2003 Posts: 129

Those NSPs are based on the ultimate mortality, not the select and ultimate.
#5
03-15-2019, 02:09 PM
 1695814 Member SOA AAA Join Date: Aug 2002 Studying for nothing. I quit. Favorite beer: Root Posts: 36,720

Quote:
 Originally Posted by Sleeping Dragon Those NSPs are based on the ultimate mortality, not the select and ultimate.
Excellent.

Using that bit of info & ury's method I'm able to replicate the numbers now.

(Just in case it's useful for anyone, I've attached a copy of my work.)
Attached Files
 LIME Table 2.1 - Copy.xlsx (24.2 KB, 13 views)

Last edited by 1695814; 03-15-2019 at 02:13 PM..