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. & 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: | Bayes Business School > Finance |
| Related URLs: | |
| SWORD Depositor: |
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