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Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap

Published online by Cambridge University Press:  09 August 2013

M. Denuit ,
S. Haberman  and
A.E. Renshaw
M. Denuit
Affiliation:
Institut de statistique, biostatistique et sciences actuarielles (ISBA), Université catholique de Louvain (UCL), Louvain-la-Neuve, Belgium
S. Haberman
Affiliation:
Cass Business School, City University, London, United Kingdom
A.E. Renshaw
Affiliation:
Cass Business School, City University, London, United Kingdom
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Abstract

This paper aims to provide accurate approximations for the quantiles of the conditional expected present value of the payments made by the annuity provider, given the future path of the Lee-Carter time index. Conditional cohort and period life expectancies are also considered. The paper also addresses some associated simulation issues, which, hitherto, have been unresolved.

Keywords

Life annuitylife expectancymortality projectionLee-Carter modelcomonotonicitysimulation
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 40 , Issue 1 , May 2010 , pp. 331 - 349
Copyright
Copyright © International Actuarial Association 2010

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