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Comonotonic approximations to quantiles of life annuity conditional expected present value · Study

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ArticleComonotonic approximations to quantiles of life annuity conditional expected present value

Michel M. Denuit2007

Article2007

Comonotonic approximations to quantiles of life annuity conditional expected present value

Michel M. Denuit

27 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications Probability and Risk Models

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References

1992Modeling and Forecasting U. S. Mortality 2002A Poisson log-bilinear regression approach to the construction of projected lifetables 2002The concept of comonotonicity in actuarial science and finance: theory 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2002Applying Lee-Carter under conditions of variable mortality decline 2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications 2002The concept of comonotonicity in actuarial science and finance: applications 2006Demographic forecasting: 1980 to 2005 in review

Cited by

2009Calculating Capital Requirements for Longevity Risk in Life Insurance Products Using an Internal Model in Line with Solvency II 2011Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products: The Effect of Investment Risk 2013Lifetime dependence modelling using a truncated multivariate gamma distribution

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2007Distribution of the random future life expectancies in log-bilinear mortality projection modelsarticle · 13 shared references 2008Mortality, longevity and experiments with the Lee–Carter modelarticle · 10 shared references 2006Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projectionarticle · 8 shared references 2007Association and heterogeneity of insured lifetimes in the Lee–Carter frameworkarticle · 7 shared references 2006Fuzzy formulation of the Lee–Carter model for mortality forecastingarticle · 7 shared references 2010Longevity Riskarticle · 7 shared references

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Year2007

Typearticle

Published2007-10-30

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations27

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2007.09.006

openalex_workW1982140289

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