Life anuities with stochastic survival probabilities: A review
From MaRDI portal
Publication:835685
DOI10.1007/s11009-008-9076-4zbMath1170.91409OpenAlexW2166262549MaRDI QIDQ835685
Publication date: 31 August 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-008-9076-4
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Distribution of the random future life expectancies in log-bilinear mortality projection models
- Survival models in a dynamic context: a survey
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- Bayesian Poisson log-bilinear mortality projections
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- Robust forecasting of mortality and fertility rates: a functional data approach
- The multivariate normal distribution
- On a probability bound of Marshall and Olkin
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A connection between supermodular ordering and positive/negative association.
- Lee-Carter mortality forecasting with age-specific enhancement.
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Monotonicity results for portfolios with heterogeneous claims arrival processes
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Positive Dependence Properties of Conditionally Independent Random Lifetimes
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Stochastic mortality under measure changes
- Heterogeneity and the need for capital in the individual model
- Negative binomial version of the Lee–Carter model for mortality forecasting
- Generalized binomial distributions
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework
- 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
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
This page was built for publication: Life anuities with stochastic survival probabilities: A review