Stochastic approximations in CBD mortality projection models

DOI10.1016/J.CAM.2015.09.020MaRDI QIDQ898936zbMATH OpenOpenAlexFDO

Authors Samuel Gbari, Michel Denuit

Publication date 21 December 2015

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.2015.09.020

zbMATH Keywords

comonotonicityincreasing convex orderincreasing directionally convex ordermortality projection modelsrisk measuressupermodular order

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Comonotonic approximations to quantiles of life annuity conditional expected present value
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
• On stochastic mortality modeling

Cites work

• A general procedure for constructing mortality models
• Annuity uncertainty with stochastic mortality and interest rates
• 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
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Stochastic orders
• The CBD Mortality Indexes: Modeling and Applications

Cited in

(2)

• From regulatory life tables to stochastic mortality projections: the exponential decline model
• The CBD Mortality Indexes: Modeling and Applications

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