Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
DOI10.2143/AST.40.1.2049232zbMATH Open1189.62162OpenAlexW1733427246MaRDI QIDQ3569719FDOQ3569719
Steven Haberman, Michel Denuit, Arthur Renshaw
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.40.1.2049232
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)
Cites Work
- Introduction to Time Series and Forecasting
- On stochastic mortality modeling
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Optimal reinsurance and stop-loss order
- Lee-Carter mortality forecasting with age-specific enhancement.
- Distribution of the random future life expectancies in log-bilinear mortality projection models
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
- On age-period-cohort parametric mortality rate projections
Cited In (10)
- Longevity hedge effectiveness: a decomposition
- Longevity-Indexed Life Annuities
- From regulatory life tables to stochastic mortality projections: the exponential decline model
- Title not available (Why is that?)
- Approximations for life annuity contracts in a stochastic financial environment
- On age-period-cohort parametric mortality rate projections
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Stochastic approximations in CBD mortality projection models
- Efficient approximations for numbers of survivors in the Lee-Carter model
- Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
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