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Document Details :
Title: Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values
Subtitle: Extensions to General Arima Models and Comparison with the Bootstrap
Author(s): DENUIT, M. , HABERMAN, S. , RENSHAW, A.E.
Journal: ASTIN Bulletin
Volume: 40 Issue: 1 Date: 2010
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.