Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection

DOI10.1016/J.CAM.2006.03.015zbMATH Open1110.62140OpenAlexW2041385333MaRDI QIDQ875166FDOQ875166

Michel Denuit, J. Dhaene

Publication date: 11 April 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.03.015

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zbMATH Keywords

risk measurecomonotonicitymortality projectionstop-loss order

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Survival analysis and censored data (62N99)

Cites Work

• Survival models in a dynamic context: a survey
• A connection between supermodular ordering and positive/negative association.
• The concept of comonotonicity in actuarial science and finance: theory.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
• The concept of comonotonicity in actuarial science and finance: applications.
• Upper and lower bounds for sums of random variables
• Smooth generators of integral stochastic orders.
• Projecting Mortality Trends
• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
• Association and heterogeneity of insured lifetimes in the Lee–Carter framework

Cited In (23)

• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• Longevity-Indexed Life Annuities
• Life anuities with stochastic survival probabilities: A review
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Moment bounds on discrete expected stop-loss transforms, with applications
• Lifetime dependence modelling using a truncated multivariate gamma distribution
• A comonotonicity-based valuation method for guaranteed annuity options
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
• Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Stochastic approximations in CBD mortality projection models
• An application of comonotonicity theory in a stochastic life annuity framework
• Risk-minimization for life insurance liabilities with dependent mortality risk
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
• Distribution of the random future life expectancies in log-bilinear mortality projection models
• Annuity contract valuation under dependent risks
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models

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