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Efficient approximations for numbers of survivors in the Lee–Carter model

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  • Gbari, Samuel
  • Denuit, Michel

Abstract

In portfolios of life annuity contracts, the payments made by an annuity provider (an insurance company or a pension fund) are driven by the random number of survivors. This paper aims to provide accurate approximations for the present value of the payments made by the annuity provider. These approximations account not only for systematic longevity risk but also for the diversifiable fluctuations around the unknown life table. They provide the practitioner with a useful tool avoiding the problem of simulations within simulations in, for instance, Solvency 2 calculations, valid whatever the size of the portfolio.

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  • 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.
    • Handle: RePEc:eee:insuma:v:59:y:2014:i:c:p:71-77
    DOI: 10.1016/j.insmatheco.2014.08.007
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    References listed on IDEAS

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    1. Balakrishnan, Narayanaswamy & Belzunce, Félix & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2012. "Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 45-54.
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    10. Denuit, Michel & 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," LIDAM Reprints ISBA 2010028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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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.

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