Stochastic approximations in CBD mortality projection models

DOI10.1016/j.cam.2015.09.020zbMath1331.91096OpenAlexW1798332369MaRDI QIDQ898936

Samuel Gbari, Michel M. Denuit

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.09.020

zbMATH Keywords

risk measuresincreasing convex ordercomonotonicitysupermodular orderincreasing directionally convex ordermortality projection models

Mathematics Subject Classification ID

Related Items (1)

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

Cites Work

• Stochastic orders
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
• Annuity Uncertainty with Stochastic Mortality and Interest Rates
• The CBD Mortality Indexes: Modeling and Applications
• A General Procedure for Constructing Mortality Models

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