Centro de Documentacion de Fundación MAPFRE - A New approximation of annuity prices for age period cohort models

Physical description: 697 - 703 p.Notes: A Publisher Correction to this article was published Sumario: This letter presents a new general formula for estimating annuity prices within a wide range of stochastic mortality models. The formula is constructed using two building blocks: an approximation technique based on the WentzelKramersBrillouin method for calculating the sum of correlated lognormal random variables, and an approximate expression for the moment generating function of the lognormal distribution. Notably, this formula is applicable to virtually all ageperiodcohort models where period effects are represented by vector autoregressive models. This broad assumption encompasses the majority of existing stochastic mortality models in literature. Through a numerical illustration, we also demonstrate the reliability and precision of our new method in determining annuity pricesRelated records: Documento relacionado: Bégin, Jean-François. A New approximation of annuity prices for ageperiodcohort modelsEn: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/08/2024 Volumen 14 - Número 2 - agosto 2024 Materia / lugar / evento: Renta vitalicia Cálculo actuarial Mortalidad Longevidad Otros autores: Kapoor, Nikhil
Sanders, Barbara
Other categories: 6

Rights: In Copyright (InC)

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