کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4642787 1341357 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection
چکیده انگلیسی

In the Lee–Carter framework, future survival probabilities are random variables with an intricate distribution function. In large homogeneous portfolios of life annuities, value-at-risk or conditional tail expectation of the total yearly payout of the company are approximately equal to the corresponding quantities involving random survival probabilities. This paper aims to derive some bounds in the increasing convex (or stop-loss) sense on these random survival probabilities. These bounds are obtained with the help of comonotonic upper and lower bounds on sums of correlated random variables.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 203, Issue 1, 1 June 2007, Pages 169–176
نویسندگان
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