using the classic actuarial identity that the immediate annuity factor collapses to mathematical life expectancy E[Tx], when the interest rate is zero, recovers the (cohort) life expectancyI didn't know that. But then again I am not an actuary. This simplifies things for me in that I do not have to extract a pdf and then probability weight ages; I can do it directly. The results match my own calcs and other life expectancy calculators using a similar cohort. In retrospect I'd say it should have been obvious but it wasn't. Does make sense though.
Retirement Finance; Alternative Risk; The Economy, Markets and Investing; Society and Capital
Mar 20, 2018
One of the several to many things I didn't know: mathematical life expectancy
This is from "The Utility Value of Longevity Risk Pooling: TECHNICAL APPENDIX" Milevsky and Huang 2018:"
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