City Research Online

Items where Author is "Denuit, M."

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Denuit, M., Haberman, S. & Renshaw, A. E. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance, 14(3), pp. 315-327. doi: 10.1017/s147474721400050x

Haberman, S., Denuit, M. & Renshaw, A. E. (2013). Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach for modelling and projecting mortality. European Actuarial Journal, 3(1), pp. 191-201. doi: 10.1007/s13385-013-0065-9

Denuit, M., Haberman, S. & Renshaw, A. E. (2011). Longevity-indexed annuities. North American Actuarial Journal, 15(1), pp. 97-111. doi: 10.1080/10920277.2011.10597611

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

Working Paper

Biffis, E. & Denuit, M. (2005). Lee-Carter goes risk-neutral: an application to the Italian annuity market (Actuarial Research Paper No. 166). London, UK: Faculty of Actuarial Science & Insurance, City University London.

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