Comonotonic approximations to quantiles of life annuity conditional expected present value

Michel Denuit

Insurance: Mathematics and Economics, 2008, vol. 42, issue 2, 831-838

Abstract: In large portfolios, the risk borne by annuity providers (insurance companies or pension funds) is basically driven by the randomness in the future mortality rates. To fix the ideas, we adopt here the standard Lee-Carter framework, where the future forces of mortality are decomposed in a log-bilinear way. This paper aims to provide accurate approximations for the quantiles of the conditional expected present value of the payments to the annuity provider, given the future path of the Lee-Carter time index. Mortality is stochastic while the discount factors are derived from a zero-coupon yield curve and are assumed to be deterministic. Numerical illustrations based on Belgian mortality (general population and insurance market statistics) show that the accuracy of the approximations proposed in this paper is remarkable, with relative difference less than 1% for most probability levels.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-6687(07)00098-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:2:p:831-838

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().