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Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general arima models and comparison with the bootstrap

Denuit, M., Haberman, S. and Renshaw, A. E. (2010). Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general arima models and comparison with the bootstrap. ASTIN Bulletin, 40(1), pp. 331-349. doi: 10.2143/AST.40.1.2049232

Abstract

This 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.

Publication Type: Article
Additional Information: © Cambridge Journals, 2010.
Publisher Keywords: Life annuity, life expectancy, mortality projection, Lee-Carter model, comonotonicity, simulation
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
Related URLs:
URI: http://openaccess.city.ac.uk/id/eprint/4037
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