Association and heterogeneity of insured lifetimes in the Lee–Carter framework

DOI10.1080/03461230601165029zbMath1141.91025OpenAlexW2012029423MaRDI QIDQ5430566

Esther Frostig, Michel M. Denuit

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1080/03461230601165029

zbMATH Keywords

Schur functionspositive dependencerisk measuresmajorisationmortality projectionlife annuities

Mathematics Subject Classification ID

Related Items (6)

Life anuities with stochastic survival probabilities: A review ⋮ From regulatory life tables to stochastic mortality projections: the exponential decline model ⋮ Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection ⋮ Modeling mortality with a Bayesian vector autoregression ⋮ Longevity and adjustment in pension annuities, with application to Finland ⋮ Life Insurance Mathematics with Random Life Tables

Cites Work

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• Monotonicity results for portfolios with heterogeneous claims arrival processes
• Positive Dependence Properties of Conditionally Independent Random Lifetimes
• Heterogeneity and the need for capital in the individual model
• Insurance contracts portfolios with heterogenous parametric life distributions
• Generalized binomial distributions
• A Universal Framework for Pricing Financial and Insurance Risks
• The Dual Theory of Choice under Risk
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Association of Random Variables, with Applications
• Projecting Mortality Trends
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• Inequalities: theory of majorization and its applications

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