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

DOI10.1016/j.cam.2006.03.015zbMath1110.62140OpenAlexW2041385333MaRDI QIDQ875166

Jan Dhaene, Michel M. 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

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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