Investing - Theory, News & General • Can deferred income annuities (DIA) actually provide longevity insurance?

ps I still need to work out how to change the basic or period tables at https://mort.soa.org to cohort ones.

See equation 6 in section 4 of this paper (the rest of the paper may be of interest as well): https://papers.ssrn.com/sol3/papers.cfm ... id=3804555

Let q_a+t,R+t be the age a+t mortality rate in year R+t, where R is the reference year of the period table and t is the number of years for the projection. Then,

q_a+t,R+t = q_a+t,R * (1 - g_a+t)^t

where g_a+t is the improvement rate for age a+t given by the projection scale.

Example:

-The age 65 mortality rate in the reference year 2012 (q_{65, 2012}) from the 2012 IAM Basic Table – Male, ANB table is 0.009007

-The age 65 mortality improvment rate (g₆₅) from the Projection Scale G2 – Male, ANB table is .015

-The age 65 mortality rate for the year 2024 (q_65,2024) is given by:

q_65,2024 = q_65,2012 * (1 - g₆₅)^{2024 - 2012} = .009007 * (1 - .015)^12 = .007513

Note, the farther out the projection (the higher the value of t) the less reliable the projection is.

Statistics: Posted by StillGoing — Sun Jun 16, 2024 2:09 am — Replies 67 — Views 6108