Comonotonic Approximations To Quantiles of Life Annuity Conditional Expected Present Values: Extensions To General Arima Models and Comparison With the Bootstrap

Denuit, Michel;Haberman, S.;Renshaw, A. E.
(2010) Astin Bulletin : the journal of the International Actuarial Association — Vol. 40, n° 1, p. 331-349 (2010)

Files

No attached file found for this publication.

Details

Authors
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.
Affiliations
  • Institution iconUCLouvainSSH/IMAQ - Institut multidisciplinaire pour la modélisation et l'analyse quantitative

Citations

  • APA
  • Chicago
  • FWB

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 : the journal of the International Actuarial Association, 40(1), 331-349. https://doi.org/10.2143/AST.40.1.2049232 (Original work published 2010)