Comparison and bounds for functionals of future lifetimes consistent with life tables

Christiane Barz and Alfred Müller

Insurance: Mathematics and Economics, 2012, vol. 50, issue 2, 229-235

Abstract: We derive a new crossing criterion of hazard rates to identify a stochastic order relation between two random variables. We apply this crossing criterion in the context of life tables to derive stochastic ordering results among three families of fractional age assumptions: the family of linear force of mortality functions, the family of quadratic survival functions and the power family. Further, this criterion is used to derive tight bounds for functionals of future lifetimes that exhibit an increasing force of mortality with given one-year survival probabilities. Numerical examples illustrate our findings.

Keywords: C02; IM10; IB11; Stochastic order; Fractional age assumptions; Increasing mortality rate; Bounds (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:2:p:229-235

DOI: 10.1016/j.insmatheco.2011.11.009

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