IDEAS home Printed from https://ideas.repec.org/a/taf/uaajxx/v6y2002i2p11-17.html
   My bibliography  Save this article

Comparison Between Future Lifetime Distribution and Its Approximations

Author

Listed:
  • Esther Frostig

Abstract

Life tables contain data on survival probabilities only for integral ages. The actuarial literature offers several approximation schemes to evaluate survival probabilities for nonintegral ages: the uniform, exponential, and Balducci approximations. This paper shows that, if the real survival model has an increasing hazard rate, the last two approximations are stochastically smaller than the real survival model. Conditions are given on the real survival model, under which it is smaller in convex ordering than the uniform approximation. The paper shows how this result can be applied to give bounds on continuous whole life insurance and whole life annuity. It also investigates the kinds of dependency between the integral part of the lifetime and the fractional portion of the lifetime in the exponential and Balducci approximations.

Suggested Citation

  • Esther Frostig, 2002. "Comparison Between Future Lifetime Distribution and Its Approximations," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(2), pages 11-17.
    • Handle: RePEc:taf:uaajxx:v:6:y:2002:i:2:p:11-17
    DOI: 10.1080/10920277.2002.10596040
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10920277.2002.10596040
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10920277.2002.10596040?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christiansen, Marcus & Denuit, Michel, 2012. "Worst-case actuarial calculations consistent with single- and multiple-decrement life tables," LIDAM Discussion Papers ISBA 2012027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Jose M. Pavía & Josep Lledó, 2022. "Estimation of the combined effects of ageing and seasonality on mortality risk: An application to Spain," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 471-497, April.
    3. 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.
    4. Tsai, Cary Chi-Liang & Jiang, Lingzhi, 2011. "Actuarial applications of the linear hazard transform in life contingencies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 70-80, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:uaajxx:v:6:y:2002:i:2:p:11-17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uaaj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.