Calculating Pension Annuity Factors - Medium Cohort adjustments


S

sylvian stone

Hi, I made a posting on the subject of calculating pension annuity
factors on the FSA basis a couple of months ago. Instead of rehashing
this, the post can be found at:

http://groups.google.co.uk/group/uk.finance/browse_thread/thread/cca2893c41ed2b2a/2b971750f9dc5fae?q=annuity+factor&rnum=1#2b971750f9dc5fae

Having gone back and done a bit of reading / studying on this subject,
it is a lot clearer to me now how to do this.

However, I was recently told that the PMA92/PFA92 mortality arrays
which are used in these calculations should be adjusted on the medium
cohort basis.

I understand why the cohort adjustments are made - I'm just getting a
bit stumped about what exact adjustments should be made to the data
within these tables / how to make the adjustments....

Or is there a table floating about out somewhere with the medium cohort
adjustments already applied ?

I'm sure there are a few actuaries who read this group who could answer
this question.

Rgds
SS.
 
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T

Tim

... I was recently told that the PMA92/PFA92
mortality arrays which are used in these calculations
should be adjusted on the medium cohort basis.

I understand why the cohort adjustments are made - I'm just
getting a bit stumped about what exact adjustments should be made
to the data within these tables / how to make the adjustments....
Are you after the full double-entry table, or just one of the many
single-entry tables which it is possible to construct?

Or is there a table floating about out somewhere
with the medium cohort adjustments already applied ?
I'm not aware of any - I think people just construct the particular
projected table which they wish to use each time...

I'm sure there are a few actuaries who read
this group who could answer this question.
Can it be only me? ;-)
 
S

sylvian stone

Hi Tim, it is quite possible that you are the only actuary who reads
this newsgroup - we'll possibly never know.....


What I am able to do is to write a programming script to create a new
single-entry table from the base tables adjusted to the year of birth,
as you advised previously.

This can be fed into another script which calculates the annuity factor
based on the qx data fed into it.

I probably did'nt word my post above clearly enough. I should have said
I understand the CONCEPT of why the cohort basis is applied to
mortality - however, I don't fully understand exactly what adjustments
should be made to year of birth tables once they have been generated.

Does this make any more sense ?
 
T

Tim

What I am able to do is to write a programming script
to create a new single-entry table from the base tables
adjusted to the year of birth, as you advised previously.

This can be fed into another script which calculates
the annuity factor based on the qx data fed into it.
OK so far...

I probably did'nt word my post above clearly enough. I should have
said I understand the CONCEPT of why the cohort basis is applied to
mortality - however, I don't fully understand exactly what adjustments
should be made to year of birth tables once they have been generated.

Does this make any more sense ?
Not really!
Using the medium cohort is just one way of producing a projected "year of
birth" table. So, you don't really need to make any adjustments to the
'year of birth' table once it has been generated....???!
 
S

sylvian stone

OK, I'll try and explain another way.

In order to create the new table, I:

* Import the base table
* Calculate the values of f(x) and A(x) and use these to calculate
RF(x,t), the reduction factor as specified in CMIR17. From this a new
'Year of Birth' table is generated.
* Use the qx values generated in the new table to calculate an annuity
factor.

At exactly what step does the 'medium cohort' come into play ?

While I can read in plenty of places that the medium cohort basis
should be used, I can't figure out at what step it is applied......

Does this make a little more sense now ? (or not.....)
 
T

Tim

In order to create the new table, I:
* Import the base table
* Calculate the values of f(x) and A(x) and use these to
calculate RF(x,t), the reduction factor as specified in CMIR17.
From this a new 'Year of Birth' table is generated.
* Use the qx values generated in the
new table to calculate an annuity factor.

At exactly what step does the 'medium cohort' come into play ?
The medium cohort *replaces* the RF(x,t).
RF(x,t) is the "old" method, 'short/medium/long cohort' are the "more
recent" methods (and the "new" methods are still being discussed!).

Does that help?
 
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S

sylvian stone

It does to a point.

But I can't find any resources that tell me how to apply it -
everything I have looked up just states 'use the medium cohort' basis.
 

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