Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projection

被引：24

作者：

Denuit, Michel ^{[1
]}

Dhaene, Jan

机构：

[1] Catholic Univ Louvain, Inst Sci Actuarielles, B-3000 Louvain, Belgium

[2] Catholic Univ Louvain, Ctr Risk & Insurance Studies, B-3000 Louvain, Belgium

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2007年 / 203卷 / 01期

关键词：

mortality projection; comonotonicity; risk measure; stop-loss order;

D O I：

10.1016/j.cam.2006.03.015

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In the Lee-Carter framework, future survival probabilities are random variables with an intricate distribution function. In large homogeneous portfolios of life annuities, value-at-risk or conditional tail expectation of the total yearly payout of the company are approximately equal to the corresponding quantities involving random survival probabilities. This paper aims to derive some bounds in the increasing convex (or stop-loss) sense on these random survival probabilities. These bounds are obtained with the help of comonotonic upper and lower bounds on sums of correlated random variables. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：169 / 176

页数：8

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