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

DOI10.1016/J.CAM.2006.03.015MaRDI QIDQ875166zbMATH OpenOpenAlexFDO

Authors J. Dhaene, Michel Denuit

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

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)

Recommendations

• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• The Lee-Carter model for forecasting mortality, revisited
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Bounds on Net Survival Probabilities for Dependent Competing Risks
• Bounds for crude survival probabilities within competing risks framework and their statistical application
• Approximating the survival probability in finite life-span population models
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• The Lee-Carter quantile mortality model
• Negative binomial version of the Lee–Carter model for mortality forecasting
• Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach

Cites work

• A connection between supermodular ordering and positive/negative association.
• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• Projecting Mortality Trends
• Smooth generators of integral stochastic orders.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• 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.
• Upper and lower bounds for sums of random variables

Cited in

(24)

• Association and heterogeneity of insured lifetimes in the Lee–Carter framework
• Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to 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
• Modelling lifetime dependence for older ages using a multivariate Pareto distribution
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• 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
• Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Risk-minimization for life insurance liabilities with dependent mortality risk
• Distribution of the random future life expectancies in log-bilinear mortality projection models
• Annuity contract valuation under dependent risks
• Longevity-indexed life annuities
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
• Life insurance mathematics with random life tables

This page was built for publication: Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q875166)