An approach to loan and valuation problems through linear algebra is used to cast commonly applied rules into a general form suitable for routine use under complex conditions. An illustrative example is included.
The pattern of mortality at the highest ages has been considered by many authors. In earlier discussions, notably following the paper by Redington (1969), the hope was expressed that more work on the numbers of registered deaths at the highest ages, or using the DHSS sample of pensioners as an extra source of data, might help to throw light on the questions raised. The present paper attempts to make a further contribution to the debate by examining the data which are now available for England and Wales.
This paper outlines some results of the theory of determining risk adjusted discount rates and the valuation of risky cash flows as developed in the finance literature, and discusses the application of this theory to the determination of life office appraisal values.