Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
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Publication:3569719
DOI10.2143/AST.40.1.2049232zbMath1189.62162OpenAlexW1733427246MaRDI QIDQ3569719
Steven Haberman, Michel M. Denuit, Arthur E. Renshaw
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.40.1.2049232
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Related Items (8)
From regulatory life tables to stochastic mortality projections: the exponential decline model ⋮ Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality ⋮ Stochastic approximations in CBD mortality projection models ⋮ Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging ⋮ On age-period-cohort parametric mortality rate projections ⋮ Longevity-Indexed Life Annuities ⋮ Efficient approximations for numbers of survivors in the Lee-Carter model ⋮ Longevity hedge effectiveness: a decomposition
Cites Work
- Distribution of the random future life expectancies in log-bilinear mortality projection models
- On age-period-cohort parametric mortality rate projections
- On stochastic mortality modeling
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- Optimal reinsurance and stop-loss order
- Lee-Carter mortality forecasting with age-specific enhancement.
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Introduction to Time Series and Forecasting
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