A new approximation of annuity prices for age-period-cohort models
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Publication:6593153
DOI10.1007/S13385-023-00370-4zbMATH Open1542.91335MaRDI QIDQ6593153FDOQ6593153
Authors: Jean-François Bégin, Nikhil Kapoor, Barbara Sanders 
Publication date: 26 August 2024
Published in: European Actuarial Journal (Search for Journal in Brave)
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Cites Work
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- Structural vector autoregressive analysis
- On stochastic mortality modeling
- On the Lambert \(w\) function
- A gravity model of mortality rates for two related populations
- On the Laplace transform of the lognormal distribution
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Mortality derivatives and the option to annuitise.
- The fair value of guaranteed annuity options
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- Modelling socio-economic differences in mortality using a new affluence index
- Annuity uncertainty with stochastic mortality and interest rates
- On the Structure and Classification of Mortality Models
- A note on portfolios of averages of lognormal variables
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