Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap

DOI10.2143/AST.40.1.2049232MaRDI QIDQ3569719zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Lee-Carter modellife expectancymortality projectionlife annuity

Mathematics Subject Classification ID

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)

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Cites work

• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Distribution of the random future life expectancies in log-bilinear mortality projection models
• Introduction to Time Series and Forecasting
• Lee-Carter mortality forecasting with age-specific enhancement.
• On age-period-cohort parametric mortality rate projections
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• On stochastic mortality modeling
• Optimal reinsurance and stop-loss order

Cited in

(12)

• Longevity hedge effectiveness: a decomposition
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• scientific article; zbMATH DE number 2101190 (Why is no real title available?)
• On age-period-cohort parametric mortality rate projections
• Approximations for life annuity contracts in a stochastic financial environment
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Stochastic approximations in CBD mortality projection models
• Life expectancies and annuities: a modern look at an old fallacy
• Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Longevity-indexed life annuities

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