A single life annuity function in F# including supporting functions such as probability of survival, pure endowment and discounted interest rate calculation. I've gone for (what I believe to be) a more functional approach than the previous version. I've cobbled together a sort of computation expression type to facilitate transforming the AgeVector. The code below contains test data and sample tests so that you can see how it should be used. If you have any queries or advice about this please contact me on twitter @CdeRoiste . Have fun!
7 people like thisPosted: 6 years ago by Kevin Roche
There are better (faster, more efficient) ways to do this, F# numerics library for a start, but this is at least interesting. This snippet uses the polar form of the Box-Muller method to generate Normal- (Gaussian-) distributed random numbers as an infinite sequence. The polar form is more efficient than the basic form as it does not rely on trigonometric function calls, but there are far more efficient alogrithms (read harder to implement) e.g. the Ziggurat method (for a later post).
2 people like thisPosted: 4 years ago by Kevin Roche
This Joint Life Annuity calculation relies on the objects and functions defined in Single Life Annuity. A joint life annuity calculates the present value of an annuity from current age to death of a member and another life (spouse). The implementation below uses the AgeVectorBuilder from the Single Life Annuity snippet in two examples: The first defines a simple Joint Life Annuity that assumes no age difference between the two lives. The second assumes an N year age difference. The samples both rely on a male mortality table (PMA92 (C=2003)) and a female mortality table (PFA92 (C=2003)) which are extracts of publicly available mortality tables (http://www.actuaries.org.uk/research-and-resources/documents/pma92-pensioners-males-amounts).
1 people like thisPosted: 6 years ago by Kevin Roche