Life insurance mathematics with random life tables

DOI10.1080/10920277.2009.10597560MaRDI QIDQ5029074zbMATH OpenOpenAlexFDO

Authors Michel Denuit, Esther Frostig

Publication date 11 February 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2009.10597560

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Life anuities with stochastic survival probabilities: A review
• Lifetime dependence modelling using a truncated multivariate gamma distribution
• Uncertainty in mortality projections: an actuarial perspective
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection

Cites work

• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Positive dependence properties of conditionally independent random lifetimes
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• The multivariate normal distribution

Cited in

(7)

• Discussion on: ``Matrix representations of life insurance payments
• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Life anuities with stochastic survival probabilities: A review
• Modelling dependent data for longevity projections
• Dependence of insurer loss on variation of mortality
• Modeling mortality with a Bayesian vector autoregression
• Analysis of 2000-2003 new life tables effect on life insurance

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