Life anuities with stochastic survival probabilities: A review
From MaRDI portal
(Redirected from Publication:835685)
Recommendations
- Life insurance mathematics with random life tables
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- An application of comonotonicity theory in a stochastic life annuity framework
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- Interest and mortality randomness in some annuities
Cites work
- scientific article; zbMATH DE number 4131506 (Why is no real title available?)
- scientific article; zbMATH DE number 5713282 (Why is no real title available?)
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A connection between supermodular ordering and positive/negative association.
- An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework
- Association of Random Variables, with Applications
- Bayesian Poisson log-bilinear mortality projections
- Bootstrapping the Poisson log-bilinear model for mortality forecasting
- Closing and projecting life tables using log-linear models
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- 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
- Generalized binomial distributions
- Heterogeneity and the need for capital in the individual model
- Inequalities: theory of majorization and its applications
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Lee-Carter mortality forecasting with age-specific enhancement.
- Monotonicity results for portfolios with heterogeneous claims arrival processes
- Negative binomial version of the Lee–Carter model for mortality forecasting
- On a probability bound of Marshall and Olkin
- Positive dependence properties of conditionally independent random lifetimes
- Projecting Mortality Trends
- Robust forecasting of mortality and fertility rates: a functional data approach
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Stochastic mortality under measure changes
- Survival models in a dynamic context: a survey
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- The multivariate normal distribution
Cited in
(12)- Life insurance mathematics with random life tables
- Stochastic actuarial valuations in double-indexed pension annuity assessment
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework
- Analysis of survivorship life insurance portfolios with stochastic rates of return
- Stochastic analysis in life office management: applications to large annuity portfolios
- Efficient approximations for numbers of survivors in the Lee-Carter model
- An application of comonotonicity theory in a stochastic life annuity framework
- Stochastic life annuities
- Approximations for life annuity contracts in a stochastic financial environment
- scientific article; zbMATH DE number 2054514 (Why is no real title available?)
- “Stochastic Annuities,” Daniel Dufresne, January 2007
- Stochastic calculus as a tool in survival analysis: A review
This page was built for publication: Life anuities with stochastic survival probabilities: A review
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q835685)
