Dedicated to
Uncorrelated Arbitrage

AAP LIFE SETTLEMENT MARKET REVIEW

IRR CALCULATIONS

An independent third party is mandated with all IRR calculations. The settings for the calculations are summarized in Annex 2 of the report. The cash flows which result from the settings can be understood with a dummy trade reflecting an average policy. The dummy trade has the following characteristics:

  • Gender: Male
  • Smoker status: non smoker (NS)
  • Date of Birth (DOB): 01.01.1935
  • Life expectancy estimate (LE): 96 months
  • Policy issue date: 01.01.2008
  • Credit rating of issuing insurance carrier: A+ (AM Best)
  • Transaction date: 01.01.2015

The mortalities and cash flows of the dummy trade using the settings for the IRR calculations can be found here.