Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality

DOI10.1007/S13385-013-0065-9zbMath1270.91029OpenAlexW1974541554MaRDI QIDQ362047

Arthur E. Renshaw, Steven Haberman, Michel M. Denuit

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4051/1/Approximations_for_quantiles.pdf

zbMATH Keywords

simulationcomonotonicitylife expectancymortality projectionlife annuity

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• Modeling and Forecasting U.S. Mortality
• Parametric mortality improvement rate modelling and projecting
• Distribution of the random future life expectancies in log-bilinear mortality projection models
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• 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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