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 annuity, life expectancy, mortality projection, Lee-Carter model, comonotonicity, simulation.
Volume
Vol 40, No. 1
Page
1-19
Year
2010
Categories
Financial and Statistical Methods
Aggregation Methods
Simulation
Publications
ASTIN Bulletin
