An application of comonotonicity theory in a stochastic life annuity framework

DOI10.1016/J.INSMATHECO.2010.11.008MaRDI QIDQ2276231zbMATHOpenAlexFDO

Authors 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

Recommendations

• Comonotonic approximations to quantiles of life annuity conditional expected present value
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• Life anuities with stochastic survival probabilities: A review

Cites work

• Approximations for life annuity contracts in a stochastic financial environment
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• Interest rate models: an introduction
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Stochastic life annuities
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Upper and lower bounds for sums of random variables

Cited in

(11)

• 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
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
• Annuity contract valuation under dependent risks
• Life anuities with stochastic survival probabilities: A review
• Approximations for life annuity contracts in a stochastic financial environment
• A comonotonicity-based valuation method for guaranteed annuity options

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