From regulatory life tables to stochastic mortality projections: the exponential decline model

DOI10.1016/j.insmatheco.2016.09.015zbMath1371.91085OpenAlexW2529016275MaRDI QIDQ2374122

Julien Trufin, Michel M. Denuit

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/238131/3/DenuitTrufin2016_Diffusion.pdf

zbMATH Keywords

risk measuresincreasing convex ordercomonotonicitylongevity riskdirectionally convex ordersupermodular orderlife tableslife annuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

Related Items (2)

Mortality modeling and regression with matrix distributions ⋮ Modelling and forecasting mortality improvement rates with random effects

Cites Work

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• Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
• A partial internal model for longevity risk
• Association and heterogeneity of insured lifetimes in the Lee–Carter framework

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