Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
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Publication:875166
DOI10.1016/j.cam.2006.03.015zbMath1110.62140OpenAlexW2041385333MaRDI QIDQ875166
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
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Survival analysis and censored data (62N99)
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Cites Work
- Survival models in a dynamic context: a survey
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- A connection between supermodular ordering and positive/negative association.
- Smooth generators of integral stochastic orders.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework
- Projecting Mortality Trends
- The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications
- Upper and lower bounds for sums of random variables
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