Worst-case actuarial calculations consistent with single- and multiple-decrement life tables

Christiansen, Marcus;Denuit, Michel
(2012) , 12 pages

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  • Christiansen, MarcusUniversity of Ulm, Germany
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  • Denuit, MichelUCLouvain
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Abstract
The present work complements the recent paper by Barz and Müller (2012). Specically, upper and lower bounds are derived for the force of mortality when one-year death probabilities are given, assuming a monotonic or convex shape. Based on these bounds, worst-case scenarios are derived depending on the mix of benets in case of survival and of death comprised in a specic insurance policy.
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Christiansen, M., & Denuit, M. (2012). Worst-case actuarial calculations consistent with single- and multiple-decrement life tables (ISBA Discussion Paper 2012/27). https://hdl.handle.net/2078.5/204757