Efficient approximations for numbers of survivors in the Lee-Carter model

DOI10.1016/j.insmatheco.2014.08.007zbMath1306.91076OpenAlexW2037305946MaRDI QIDQ2514607

Samuel Gbari, Michel M. Denuit

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.007

zbMATH Keywords

risk measurescomonotonicitysupermodular orderLee-Carter modelmortality projectionlife annuityincreasing directionally convex order

Mathematics Subject Classification ID

Related Items

From regulatory life tables to stochastic mortality projections: the exponential decline model, Stochastic approximations in CBD mortality projection models

Cites Work

• Multivariate higher-degree stochastic increasing convexity
• Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data
• 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
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• On error bounds for approximations to multivariate distributions.
• Approximations for life annuity contracts in a stochastic financial environment
• Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap