Comonotonic approximations to quantiles of life annuity conditional expected present value

DOI10.1016/j.insmatheco.2007.09.006zbMath1152.91576OpenAlexW1982140289MaRDI QIDQ998302

Michel M. Denuit

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.006

zbMATH Keywords

risk measurescomonotonicityLee-Carter modelmortality projectionlife annuity

Mathematics Subject Classification ID

Related Items (14)

Life anuities with stochastic survival probabilities: A review ⋮ Stochastic approximations in CBD mortality projection models ⋮ Multivariate lifetime distributions for the exponential dispersion family ⋮ Quantile credibility models ⋮ Lifetime dependence modelling using a truncated multivariate gamma distribution ⋮ Quantiles in a multi-stage nested classification credibility model ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Longevity-Indexed Life Annuities ⋮ Annuity Uncertainty with Stochastic Mortality and Interest Rates ⋮ An application of comonotonicity theory in a stochastic life annuity framework ⋮ Efficient approximations for numbers of survivors in the Lee-Carter model ⋮ Modelling lifetime dependence for older ages using a multivariate Pareto distribution ⋮ Annuity contract valuation under dependent risks ⋮ Multi-stage nested classification credibility quantile regression model

Cites Work

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• Negative binomial version of the Lee–Carter model for mortality forecasting
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• 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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