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  #21  
Old 01-31-2008, 09:36 PM
gunhog gunhog is offline
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Default unable to match

Can I get a little help?

I'm trying to match the age 60 factor of 161.14. I keep getting 162.28. Basically I value each year as follows (ex is second year):
P60 x (1/1.0485)^1 x PV(anty: i = 1.0485^(1/12)-1, n=12, pymnt=1/12, imdt anty)

= .9951 x .9537 x .9748 = .9251

I do this for every year up to age 120, using the appropriate segment rates. Anyone see something wrong? Or do you have to apply survivability to each monthly payment, using UDD?

Thanks a lot.
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  #22  
Old 02-01-2008, 02:59 PM
Steve Grondin Steve Grondin is offline
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Quote:
Originally Posted by gunhog View Post
do you have to apply survivability to each monthly payment
That's how I get 161.14, and from what I gather, it's typical.
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  #23  
Old 02-10-2008, 07:16 PM
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Rick_G Rick_G is offline
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Quote:
Originally Posted by gunhog View Post
I'm trying to match the age 60 factor of 161.14. I keep getting 162.28. Basically I value each year as follows (ex is second year):
P60 x (1/1.0485)^1 x PV(anty: i = 1.0485^(1/12)-1, n=12, pymnt=1/12, imdt anty)

= .9951 x .9537 x .9748 = .9251

I do this for every year up to age 120, using the appropriate segment rates. Anyone see something wrong? Or do you have to apply survivability to each monthly payment, using UDD?
I'm not sure how you are getting the value of 162.28. Now that I got my spreadsheet fixed, I can give you some more details on the results shown at the beginning of this thread:
Quote:
Originally Posted by Absolutsju View Post
Using Oct 2007 rates (4.77% Treas, 4.85% Spot1, 5.02% Spot2 and 5.09%SPot3) - I calculated the following values to convert an immediate monthly annuity to a lump sum:

50 = 190.1389
55 = 176.8137
60 = 161.1369
65 = 143.5088
Code:
Annual		Monthly		Monthly		Monthly
annuity		annuity		annuity		exact
Due		"crude"		exact		Times 12.0

16.2983		15.83999	15.8449		190.1389	
15.1881		14.72975	14.7345		176.8135	
13.8821		13.42372	13.4281		161.1373	
12.4135		11.95521	11.9591		143.5096
The "crude" value is simply the annual annuity due less 11/24. The exact monthly annuity reflects the effect of the three segment interest rates, as described in this post.
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