Stochastic approximations In CBD mortality projection models

Gbari, Kock Yed Ake Samuel;Denuit, Michel
(2014) , 20 pages

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  • Gbari, Kock Yed Ake SamuelUCLouvain
    Author
  • Denuit, MichelUCLouvain
    Author
Abstract
Comonotonicity has been successfully applied to derive various approximations in the single- factor mortality projection model proposed by Lee and Carter (1992), after Denuit and Dhaene (2007). The present paper extends this approach to the multi-factor mortality projection models developed after Cairns, Blake and Dowd (2006). These approximations account for the systematic longevity risk as well as for the diversiable uctuations around the unknown life table due to the limited number of policies in the portfolio. This provides the practitioner with a useful tool avoiding the problem of simulations within simulations in, for instance, Solvency 2 calculations, valid whatever the size of the portfolio.
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Gbari, K. Y. A. S., & Denuit, M. (2014). Stochastic approximations In CBD mortality projection models (ISBA Discussion Paper 2014/45). https://hdl.handle.net/2078.5/191561