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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

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  • Denuit, M.
  • Haberman, S.
  • Renshaw, A.E.

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.

Suggested Citation

  • Denuit, M. & Haberman, S. & Renshaw, A.E., 2010. "Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 331-349, May.
    • Handle: RePEc:cup:astinb:v:40:y:2010:i:01:p:331-349_00
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    Cited by:

    1. Denuit, Michel & Trufin, Julien, 2016. "From regulatory life tables to stochastic mortality projections: The exponential decline model," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 295-303.
    2. Cairns, Andrew J.G., 2011. "Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 438-453.
    3. Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan, 2014. "Longevity hedge effectiveness: a decomposition," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 217-235, February.
    4. Gbari, Samuel & Denuit, Michel, 2014. "Efficient approximations for numbers of survivors in the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 71-77.
    5. Andrew J. G. Cairns, 2013. "Robust Hedging of Longevity Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 621-648, September.

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