Worst-case actuarial calculations consistent with single- and multiple-decrement life tables

Marcus C. Christiansen and Michel M. Denuit

Insurance: Mathematics and Economics, 2013, vol. 52, issue 1, 1-5

Abstract: The present work complements the recent paper by Barz and Müller (2012). Specifically, upper and lower bounds are derived for the force of mortality when one-year death probabilities are given, assuming a monotonic, convex or concave shape. Based on these bounds, worst-case scenarios are derived depending on the mix of benefits in the case of survival and of death comprised in a specific insurance policy.

Keywords: Life insurance; Multistate models; First-order life tables; Fractional age assumptions (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:1:p:1-5

DOI: 10.1016/j.insmatheco.2012.10.002

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