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

Christiansen, Marcus C.;Denuit, Michel
(2013) Insurance: Mathematics and Economics — Vol. 52, n° 1, p. 1-5 (2013)

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Abstract
The present work complements the recent paper by Barz and Müller (2012). Specifically, upper and lower bounds are derived for the force of mortality when one-year death probabilities are given, assuming a monotonic, convex or concave shape. Based on these bounds, worst-case scenarios are derived depending on the mix of benefits in the case of survival and of death comprised in a specific insurance policy.
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Christiansen, M. C., & Denuit, M. (2013). Worst-case actuarial calculations consistent with single- and multiple-decrement life tables. Insurance: Mathematics and Economics, 52(1), 1-5. https://doi.org/10.1016/j.insmatheco.2012.10.002 (Original work published 2013)