Notes

This spreadsheet derives a multiple decrement table for the Tutorial 2 question.
There is a tab called 'Decrement' that uses the approach specified in the video: 'Revision of Life Contingencies'
Another tab, 'Force of Decrement' uses an approach that is currently in the core reading for CT4/CT5. It is more complicated b
The structure of the spreadsheet follwos those in Modules 5, etc.
You are free to follow whatever approach you like but the assignment spreadsheet should adhere to some recognisable sprea

The final two tabs, 'Sketch' and 'Example sketch' are not in a format that you could pass to someone else.
They are included to aid the discussion on sketches in Tutorial 2.
Contingencies'
/CT5. It is more complicated but appears to provide the same results.

re to some recognisable spreadsheet standards.

Mortality Table

The mortality rates for IA95_97 Ult Male are in the following table.
IA95_97 Ult Male
Attained Age ( x ) qx

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15 0.00041
16 0.00052
17 0.00062
18 0.00070
19 0.00078
20 0.00083
21 0.00087
22 0.00089
23 0.00090
24 0.00090
25 0.00089
26 0.00088
27 0.00086
28 0.00084
29 0.00082
30 0.00080
31 0.00077
32 0.00075
33 0.00074
34 0.00074
35 0.00075
36 0.00076
37 0.00078
38 0.00081
39 0.00085
40 0.00089
41 0.00094
42 0.00101
43 0.00108
44 0.00116
45 0.00126
46 0.00137
47 0.00150
48 0.00165
49 0.00183
50 0.00203
51 0.00226
52 0.00252
53 0.00282
54 0.00315
55 0.00352
56 0.00393
57 0.00439
58 0.00491
59 0.00551
60 0.00620
61 0.00700
62 0.00792
63 0.00897
64 0.01017
65 0.01153
66 0.01306
67 0.01477
68 0.01670
69 0.01885
70 0.02125
71 0.02393
72 0.02690
73 0.03022
74 0.03390
75 0.03801
76 0.04259
77 0.04768
78 0.05335
79 0.05966
80 0.06665
81 0.07438
82 0.08284
83 0.09203
84 0.10189
85 0.11239
86 0.12346
87 0.13503
88 0.14704
89 0.15939
90 0.17194
91 0.18453
92 0.19695
93 0.20899
94 0.22038
95 0.23077
96 0.23987
97 0.24747
98 0.25355
99 0.25835
Data

We have not been supplied with any data on individual contracts.

Assumptions

Mortality
- Table IA95-97
- Factor 100%
- Select 0 years i.e. Ult rates

Nursing Mortality
Age home
60 1% 0.620%
61 1% 0.700%
62 1% 0.792%
63 1% 0.897%
64 1% 1.017%
65 1% 1.153%
66 1% 1.306%
67 1% 1.477%
68 1% 1.670%
69 1% 1.885%
70 1% 2.125%
71 3% 2.393%
72 3% 2.690%
73 3% 3.022%
74 3% 3.390%
75 3% 3.801%
76 5% 4.259%
77 7% 4.768%
78 9% 5.335%
79 11% 5.966%
80 13% 6.665%
81 15% 7.438%
82 17% 8.284%
83 19% 9.203%
84 21% 10.189%
85 23% 11.239%
86 25% 12.346%
87 27% 13.503%
88 29% 14.704%
89 31% 15.939%
90 33% 17.194%
91 35% 18.453%
92 37% 19.695%
93 39% 20.899%
94 41% 22.038%
95 43% 23.077%
 96 45% 23.987%
97 47% 24.747%
98 49% 25.355%
99 51% 25.835%

Expenses No information!
- Initial Expense $2,000
- Renewal Expense $100
- Termination Expense $2,000
Decrement tables

Multiple decrement table

Assumptions: Deaths and transfer to nursing home uniform throughout the year

Nursing
home
transfer
Age qx rate (al)x (ad)x (aw)x (al)x+1 (ap)x
60 0.0062 0.01 1.00000 0.00617 0.00997 0.98386 0.98386
61 0.007 0.01 0.98386 0.00685 0.00980 0.96721 0.98307
62 0.00792 0.01 0.96721 0.00762 0.00963 0.94995 0.98216
63 0.00897 0.01 0.94995 0.00848 0.00946 0.93201 0.98112
64 0.01017 0.01 0.93201 0.00943 0.00927 0.91331 0.97993
65 0.01153 0.01 0.91331 0.01048 0.00908 0.89375 0.97859
66 0.01306 0.01 0.89375 0.01161 0.00888 0.87326 0.97707
67 0.01477 0.01 0.87326 0.01283 0.00867 0.85176 0.97538
68 0.0167 0.01 0.85176 0.01415 0.00845 0.82916 0.97347
69 0.01885 0.01 0.82916 0.01555 0.00821 0.80539 0.97134
70 0.02125 0.01 0.80539 0.01703 0.00797 0.78040 0.96896
71 0.02393 0.03 0.78040 0.01839 0.02313 0.73887 0.94679
72 0.0269 0.03 0.73887 0.01958 0.02187 0.69742 0.94391
73 0.03022 0.03 0.69742 0.02076 0.02061 0.65606 0.94069
74 0.0339 0.03 0.65606 0.02191 0.01935 0.61480 0.93712
75 0.03801 0.03 0.61480 0.02302 0.01809 0.57369 0.93313
76 0.04259 0.05 0.57369 0.02382 0.02807 0.52179 0.90954
77 0.04768 0.07 0.52179 0.02401 0.03565 0.46213 0.88566
78 0.05335 0.09 0.46213 0.02355 0.04048 0.39810 0.86145
79 0.05966 0.11 0.39810 0.02244 0.04249 0.33317 0.83690
80 0.06665 0.13 0.33317 0.02076 0.04187 0.27054 0.81201
81 0.07438 0.15 0.27054 0.01861 0.03907 0.21286 0.78678
82 0.08284 0.17 0.21286 0.01613 0.03469 0.16204 0.76124
83 0.09203 0.19 0.16204 0.01350 0.02937 0.11917 0.73546
84 0.10189 0.21 0.11917 0.01087 0.02375 0.08455 0.70951
85 0.11239 0.23 0.08455 0.00841 0.01835 0.05779 0.68346
86 0.12346 0.25 0.05779 0.00624 0.01356 0.03799 0.65741
87 0.13503 0.27 0.03799 0.00444 0.00956 0.02399 0.63143
88 0.14704 0.29 0.02399 0.00302 0.00645 0.01453 0.60560
89 0.15939 0.31 0.01453 0.00196 0.00414 0.00843 0.58002
90 0.17194 0.33 0.00843 0.00121 0.00254 0.00467 0.55480
91 0.18453 0.35 0.00467 0.00071 0.00149 0.00248 0.53006
92 0.19695 0.37 0.00248 0.00040 0.00083 0.00125 0.50592
93 0.20899 0.39 0.00125 0.00021 0.00044 0.00060 0.48252
94 0.22038 0.41 0.00060 0.00011 0.00022 0.00028 0.45998
95 0.23077 0.43 0.00028 0.00005 0.00011 0.00012 0.43846
96 0.23987 0.45 0.00012 0.00002 0.00005 0.00005 0.41807
97 0.24747 0.47 0.00005 0.00001 0.00002 0.00002 0.39884
98 0.25355 0.49 0.00002 0.00000 0.00001 0.00001 0.38069
99 0.25835 0.51 0.00001 0.00000 0.00000 0.00000 0.36341
Death only

Age qx lx dx
60 0.0062 1 0.0062
61 0.007 0.9938 0.006957
62 0.00792 0.986843 0.007816
63 0.00897 0.979028 0.008782
64 0.01017 0.970246 0.009867
65 0.01153 0.960378 0.011073
66 0.01306 0.949305 0.012398
67 0.01477 0.936907 0.013838
68 0.0167 0.923069 0.015415
69 0.01885 0.907654 0.017109
70 0.02125 0.890545 0.018924
71 0.02393 0.871621 0.020858
72 0.0269 0.850763 0.022886
73 0.03022 0.827877 0.025018
74 0.0339 0.802859 0.027217
75 0.03801 0.775642 0.029482
76 0.04259 0.74616 0.031779
77 0.04768 0.714381 0.034062
78 0.05335 0.680319 0.036295
79 0.05966 0.644024 0.038422
80 0.06665 0.605602 0.040363
81 0.07438 0.565238 0.042042
82 0.08284 0.523196 0.043342
83 0.09203 0.479854 0.044161
84 0.10189 0.435693 0.044393
85 0.11239 0.3913 0.043978
86 0.12346 0.347322 0.04288
87 0.13503 0.304442 0.041109
88 0.14704 0.263333 0.03872
89 0.15939 0.224613 0.035801
90 0.17194 0.188812 0.032464
91 0.18453 0.156347 0.028851
92 0.19695 0.127497 0.02511
93 0.20899 0.102386 0.021398
94 0.22038 0.080988 0.017848
95 0.23077 0.06314 0.014571
96 0.23987 0.048569 0.01165
97 0.24747 0.036919 0.009136
98 0.25355 0.027783 0.007044
99 0.25835 0.020738 0.005358
Decrement table using forces

In the notes for CT4/CT5, multiple decrement tables are constructed using a slightly different method
The results look the same!

Nursing Force of Force of

Age qx home mortality sickness (al)x (ad)x (aw)x (al)x+1 (ap)x
60 0.0062 0.01 0.0062193 0.0100503 1.00000 0.00617 0.00997 0.98386 0.98386
61 0.007 0.01 0.0070246 0.0100503 0.98386 0.00685 0.00980 0.96721 0.98307
62 0.00792 0.01 0.0079515 0.0100503 0.96721 0.00762 0.00963 0.94995 0.98216
63 0.00897 0.01 0.0090105 0.0100503 0.94995 0.00848 0.00946 0.93201 0.98112
64 0.01017 0.01 0.0102221 0.0100503 0.93201 0.00943 0.00927 0.91331 0.97993
65 0.01153 0.01 0.011597 0.0100503 0.91331 0.01048 0.00908 0.89375 0.97859
66 0.01306 0.01 0.013146 0.0100503 0.89375 0.01161 0.00888 0.87326 0.97707
67 0.01477 0.01 0.0148802 0.0100503 0.87326 0.01283 0.00867 0.85176 0.97538
68 0.0167 0.01 0.016841 0.0100503 0.85176 0.01415 0.00845 0.82916 0.97347
69 0.01885 0.01 0.0190299 0.0100503 0.82916 0.01555 0.00821 0.80539 0.97134
70 0.02125 0.01 0.021479 0.0100503 0.80539 0.01703 0.00797 0.78040 0.96896
71 0.02393 0.03 0.024221 0.0304592 0.78040 0.01839 0.02313 0.73887 0.94679
72 0.0269 0.03 0.0272684 0.0304592 0.73887 0.01958 0.02187 0.69742 0.94391
73 0.03022 0.03 0.030686 0.0304592 0.69742 0.02076 0.02061 0.65606 0.94069
74 0.0339 0.03 0.0344879 0.0304592 0.65606 0.02191 0.01935 0.61480 0.93712
75 0.03801 0.03 0.0387512 0.0304592 0.61480 0.02302 0.01809 0.57369 0.93313
76 0.04259 0.05 0.0435236 0.0512933 0.57369 0.02382 0.02807 0.52179 0.90954
77 0.04768 0.07 0.0488542 0.0725707 0.52179 0.02400 0.03566 0.46213 0.88566
78 0.05335 0.09 0.0548258 0.0943107 0.46213 0.02354 0.04049 0.39810 0.86145
79 0.05966 0.11 0.0615138 0.1165338 0.39810 0.02243 0.04250 0.33317 0.83690
80 0.06665 0.13 0.068975 0.1392621 0.33317 0.02075 0.04189 0.27054 0.81201
81 0.07438 0.15 0.0772915 0.1625189 0.27054 0.01859 0.03909 0.21286 0.78678
82 0.08284 0.17 0.0864733 0.1863296 0.21286 0.01611 0.03471 0.16204 0.76124
83 0.09203 0.19 0.0965439 0.210721 0.16204 0.01347 0.02940 0.11917 0.73546
84 0.10189 0.21 0.1074627 0.2357223 0.11917 0.01084 0.02378 0.08455 0.70951
85 0.11239 0.23 0.1192228 0.2613648 0.08455 0.00838 0.01838 0.05779 0.68346
86 0.12346 0.25 0.1317729 0.2876821 0.05779 0.00622 0.01358 0.03799 0.65741
87 0.13503 0.27 0.1450605 0.3147107 0.03799 0.00442 0.00958 0.02399 0.63143
88 0.14704 0.29 0.1590426 0.3424903 0.02399 0.00300 0.00646 0.01453 0.60560
89 0.15939 0.31 0.1736275 0.3710637 0.01453 0.00194 0.00416 0.00843 0.58002
90 0.17194 0.33 0.1886697 0.4004776 0.00843 0.00120 0.00255 0.00467 0.55480
91 0.18453 0.35 0.2039906 0.4307829 0.00467 0.00071 0.00149 0.00248 0.53006
92 0.19695 0.37 0.2193383 0.4620355 0.00248 0.00039 0.00083 0.00125 0.50592
93 0.20899 0.39 0.2344447 0.4942963 0.00125 0.00021 0.00044 0.00060 0.48252
94 0.22038 0.41 0.2489487 0.5276327 0.00060 0.00010 0.00022 0.00028 0.45998
95 0.23077 0.43 0.2623653 0.5621189 0.00028 0.00005 0.00011 0.00012 0.43846
96 0.23987 0.45 0.2742658 0.597837 0.00012 0.00002 0.00005 0.00005 0.41807
97 0.24747 0.47 0.2843144 0.6348783 0.00005 0.00001 0.00002 0.00002 0.39884
98 0.25355 0.49 0.2924266 0.6733446 0.00002 0.00000 0.00001 0.00001 0.38069
99 0.25835 0.51 0.2988778 0.7133499 0.00001 0.00000 0.00000 0.00000 0.36341
Loan duration

Death %age
Age Multiple only increase
60 15.77746 21.40519 35.7%
61 15.03625 20.53873 36.6%
62 14.2952 19.68352 37.7%
63 13.55487 18.84065 39.0%
64 12.81572 18.01118 40.5%
65 12.07817 17.19624 42.4%
66 11.34248 16.39683 44.6%
67 10.60866 15.6138 47.2%
68 9.876468 14.84787 50.3%
69 9.145663 14.10005 54.2%
70 8.415526 13.37094 58.9%
71 7.68509 12.66124 64.8%
72 7.117013 11.97165 68.2%
73 6.539951 11.30259 72.8%
74 5.952317 10.6548 79.0%
75 5.351733 10.02867 87.4%
76 4.735247 9.424922 99.0%
77 4.206203 8.844186 110.3%
78 3.749243 8.286989 121.0%
79 3.352239 7.754016 131.3%
80 3.005531 7.245971 141.1%
81 2.701326 6.763401 150.4%
82 2.433408 6.306888 159.2%
83 2.196625 5.87654 167.5%
84 1.986754 5.472174 175.4%
85 1.80019 5.092989 182.9%
86 1.633937 4.737868 190.0%
87 1.485434 4.405193 196.6%
88 1.352499 4.092886 202.6%
89 1.233314 3.79845 208.0%
90 1.126327 3.518682 212.4%
91 1.03015 3.249308 215.4%
92 0.943475 2.984584 216.3%
93 0.864865 2.71656 214.1%
94 0.792406 2.434293 207.2%
95 0.722712 2.12241 193.7%
96 0.648293 1.759135 171.3%
97 0.550675 1.314256 138.7%
98 0.38069 0.74645 96.1%
(This is a badly designed sheet but I am using it as part of a broadcast) CPI
Sketch 1 - life expectancy
Individual - payout life expectancy House price < loan growth
Loan $200,000 Time Loan growth cpi + 3% cpi + 3%
Age 60 0 -$202,000 $400,000 $600,000
Gender Male 1 -$103 $424,000 $636,000
Term 21.405191374 2 -$106 $449,440 $674,160
3 -$109 $476,406 $714,610
House price 4 -$113 $504,991 $757,486
Scenario 1 3% 5 -$116 $535,290 $802,935
2 5% 6 -$119 $567,408 $851,111
3 7% 7 -$123 $601,452 $902,178
8 -$127 $637,539 $956,309
9 -$130 $675,792 $1,013,687
10 -$134 $716,339 $1,074,509
11 -$138 $759,319 $1,138,979
12 -$143 $804,879 $1,207,318
13 -$147 $853,171 $1,279,757
14 -$151 $904,362 $1,356,542
15 -$156 $958,623 $1,437,935
16 -$160 $1,016,141 $1,524,211
17 -$165 $1,077,109 $1,615,664
18 -$170 $1,141,736 $1,712,603
19 -$175 $1,210,240 $1,815,360
20 -$181 $1,282,854 $1,924,281
21 $1,002,860 $1,359,825 $2,039,738
 3%
Sketch 2 - e + 10 years
ce < loan growth House price > loan growth Time Loan growth
cpi + 7% cpi + 7% cpi + 3%
$600,000 $400,000 0 -202000 $600,000
$660,000 $440,000 1 -103 $636,000
$726,000 $484,000 2 -106.09 $674,160
$798,600 $532,400 3 -109.2727 $714,610
$878,460 $585,640 4 -112.550881 $757,486
$966,306 $644,204 5 -115.92740743 $802,935
$1,062,937 $708,624 6 -119.40522965 $851,111
$1,169,230 $779,487 7 -122.98738654 $902,178
$1,286,153 $857,436 8 -126.67700814 $956,309
$1,414,769 $943,179 9 -130.47731838 $1,013,687
$1,556,245 $1,037,497 10 -134.39163793 $1,074,509
$1,711,870 $1,141,247 11 -138.42338707 $1,138,979
$1,883,057 $1,255,371 12 -142.57608868 $1,207,318
$2,071,363 $1,380,908 13 -146.85337135 $1,279,757
$2,278,499 $1,518,999 14 -151.25897249 $1,356,542
$2,506,349 $1,670,899 15 -155.79674166 $1,437,935
$2,756,984 $1,837,989 16 -160.47064391 $1,524,211
$3,032,682 $2,021,788 17 -165.28476323 $1,615,664
$3,335,950 $2,223,967 18 -170.24330612 $1,712,603
$3,669,545 $2,446,364 19 -175.35060531 $1,815,360
$4,036,500 $2,691,000 20 -180.61112347 $1,924,281
$4,440,150 $2,960,100 21 -$186 $2,039,738
22 -$192 $2,162,122
23 -$197 $2,291,850
24 -$203 $2,429,361
25 -$209 $2,575,122
26 -$216 $2,729,630
27 -$222 $2,893,408
28 -$229 $3,067,012
29 -$236 $3,251,033
30 -$243 $3,446,095
31 $2,168,284 $3,652,860
 Sketch 3 - older ages

Sketch 4 - early death

cpi + 3%
$400,000 Sketch 5 - portfolio
$424,000 - apply death rate as probabity of loan repayment
$449,440
$476,406 Sketch 6 - Stochastic apporach
$504,991 (not really a sketch)
$535,290 - could model house price inflation and loan repayment from independent Brownian motion
$567,408 - run many times
$601,452 - living long good for profit ( asset increase)
$637,539 -but more likely property crash - bad for capital
$675,792
$716,339
$759,319
$804,879
$853,171
$904,362
$958,623
$1,016,141
$1,077,109
$1,141,736
$1,210,240
$1,282,854
$1,359,825
$1,441,415
$1,527,900
$1,619,574
$1,716,748
$1,819,753
$1,928,938
$2,044,675
$2,167,355
$2,297,396
$2,435,240
ownian motion
Graph 1: Scenario 1

Home Equity Release Scenario 1: Cash fl ow to

the Bank

$1,600,000
$1,400,000
$1,200,000 Cash flow
$1,000,000 Value of House
$800,000
$600,000
$400,000
$200,000
$0
-$200,000 1 2 3 4 5 6 7 8 9 10111213141516171819202122
-$400,000

Scenario 1 ( insert description)