Comonotonic approximations to quantiles of life annuity conditional expected present values : extensions to general arima models and comparison with the bootstrap

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<title>Comonotonic approximations to quantiles of life annuity conditional expected present values</title>
<subTitle>: extensions to general arima models and comparison with the bootstrap</subTitle>
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<namePart>Denuit, M.</namePart>
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<abstract displayLabel="Summary">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.
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<note type="statement of responsibility">M. Denuit, S. Haberman, A.E. Renshaw</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 331-349</text>
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