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

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  • Christiansen, Marcus C.
  • Denuit, Michel M.

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.

Suggested Citation

  • Christiansen, Marcus C. & Denuit, Michel M., 2013. "Worst-case actuarial calculations consistent with single- and multiple-decrement life tables," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 1-5.
    • Handle: RePEc:eee:insuma:v:52:y:2013:i:1:p:1-5
    DOI: 10.1016/j.insmatheco.2012.10.002
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    References listed on IDEAS

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    1. Christiansen, Marcus C. & Denuit, Michel, 2010. "First-order mortality rates and safe-side actuarial calculations in life insurance," LIDAM Discussion Papers ISBA 2010009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Christiansen, Marcus C. & Denuit, Michel M., 2010. "First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 587-614, November.
    3. Frostig, Esther, 2003. "Properties of the power family of fractional age approximations," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 163-171, August.
    4. Jones, Bruce L. & Mereu, John A., 2000. "A family of fractional age assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 261-276, October.
    5. Christiansen, Marcus C., 2010. "Biometric worst-case scenarios for multi-state life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 190-197, October.
    6. Barz, Christiane & Müller, Alfred, 2012. "Comparison and bounds for functionals of future lifetimes consistent with life tables," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 229-235.
    7. Jones, Bruce L. & Mereu, John A., 2002. "A critique of fractional age assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 363-370, June.
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