A new approximation of annuity prices for age-period-cohort models
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Publication:6593153
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Cites work
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- A gravity model of mortality rates for two related populations
- A note on portfolios of averages of lognormal variables
- Annuity uncertainty with stochastic mortality and interest rates
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Modeling and forecasting U.S. mortality. (With discussion)
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Modelling socio-economic differences in mortality using a new affluence index
- Mortality derivatives and the option to annuitise.
- On stochastic mortality modeling
- On the Lambert \(w\) function
- On the Laplace transform of the lognormal distribution
- On the Structure and Classification of Mortality Models
- Structural vector autoregressive analysis
- The fair value of guaranteed annuity options
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