Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
Copyright policy )Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap
AbstractThis paper aims to provide accurate approximations for the quantiles of the conditional expected present value of the payments made by the annuity provider, given the future path of the Lee-Carter time index. Conditional cohort and period life expectancies are also considered. The paper also addresses some associated simulation issues, which, hitherto, have been unresolved.
- University College London United Kingdom
- City St George’s, University of London United Kingdom
- Université Catholique de Louvain Belgium
- University Colleges Leuven-Limburg Belgium
Applications of statistics to actuarial sciences and financial mathematics, Life annuity, Lee-Carter model, Computational problems in statistics, comonotonicity, simulation, HG, Approximations to statistical distributions (nonasymptotic), life annuity, Time series, auto-correlation, regression, etc. in statistics (GARCH), Risk theory, insurance, life expectancy, mortality projection
Applications of statistics to actuarial sciences and financial mathematics, Life annuity, Lee-Carter model, Computational problems in statistics, comonotonicity, simulation, HG, Approximations to statistical distributions (nonasymptotic), life annuity, Time series, auto-correlation, regression, etc. in statistics (GARCH), Risk theory, insurance, life expectancy, mortality projection
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