An application of comonotonicity theory in a stochastic life annuity framework

DOI10.1016/J.INSMATHECO.2010.11.008zbMATH Open1218.91085OpenAlexW1995142890MaRDI QIDQ2276231FDOQ2276231

Xiaoming Liu, Jisoo Jang, Sun Mee Kim

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.11.008

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
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• Stochastic Life Annuities
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• The concept of comonotonicity in actuarial science and finance: applications.
• Upper and lower bounds for sums of random variables
• Approximations for life annuity contracts in a stochastic financial environment
• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
• Comonotonic approximations to quantiles of life annuity conditional expected present value

Cited In (6)

• A comonotonicity-based valuation method for guaranteed annuity options
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
• The concept of comonotonicity in actuarial science and finance: applications.
• Annuity Uncertainty with Stochastic Mortality and Interest Rates
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks

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