Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality

DOI10.1007/S13385-013-0065-9MaRDI QIDQ362047zbMATH OpenOpenAlexFDO

Authors Arthur Renshaw, Steven Haberman, Michel Denuit

Publication date 20 August 2013

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/4051/1/Approximations_for_quantiles.pdf

zbMATH Keywords

simulationlife expectancycomonotonicitymortality projectionlife annuity

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Comonotonic approximations to quantiles of life annuity conditional expected present value
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• Parametric mortality improvement rate modelling and projecting
• scientific article; zbMATH DE number 2054513
• From regulatory life tables to stochastic mortality projections: the exponential decline model

Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
• 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
• Lee-Carter mortality forecasting with age-specific enhancement.
• Modeling and forecasting U.S. mortality. (With discussion)
• Parametric mortality improvement rate modelling and projecting

Cited in

(8)

• scientific article; zbMATH DE number 2054513 (Why is no real title available?)
• Evaluating life expectancy evaluations
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Stochastic approximations in CBD mortality projection models
• Shortcuts for the construction of sub-annual life tables
• Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
• Measuring the effect of mortality improvements on the cost of annuities

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