Approximations for life annuity contracts in a stochastic financial environment

DOI10.1016/J.INSMATHECO.2005.02.003MaRDI QIDQ2581779zbMATH OpenOpenAlexFDO

Authors Tom Hoedemakers, Grzegorz Darkiewicz, Marc J. Goovaerts

Publication date 10 January 2006

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.02.003

zbMATH Keywords

ComonotonicityLife annuitiesStochastic interest ratesStop-loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(15)

• A stochastic programming model for funding single premium deferred annuities
• Stochastic interest model based on compound Poisson process and applications in actuarial science
• An application of comonotonicity theory in a stochastic life annuity framework
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• A closed-form expression for the quantile function of the Gompertz-Makeham distribution
• Stochastic analysis of life insurance surplus
• Efficient approximations for numbers of survivors in the Lee-Carter model
• A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
• Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
• Modeling mortality and pricing life annuities with Lévy processes
• Stochastic life annuities
• “Stochastic Annuities,” Daniel Dufresne, January 2007
• Annuity uncertainty with stochastic mortality and interest rates
• Monte Carlo valuation of future annuity contracts
• Comonotonic approximations to quantiles of life annuity conditional expected present value

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