A New approximation of annuity prices for age period cohort models
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20240016746 | ||
| 003 | MAP | ||
| 005 | 20241018124704.0 | ||
| 008 | 241016e20241508che|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20190008310$aBégin, Jean-François | ||
| 245 | 1 | 2 | $aA New approximation of annuity prices for age period cohort models$cJean-François Bégin, Nikhil Kapoor & Bárbara Sanders |
| 300 | $a697 - 703 p. | ||
| 500 | $aA Publisher Correction to this article was published | ||
| 520 | $aThis 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 prices | ||
| 650 | 4 | $0MAPA20080573614$aRenta vitalicia | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 700 | 1 | $0MAPA20240022181$aKapoor, Nikhil | |
| 700 | 1 | $0MAPA20240022198$aSanders, Barbara | |
| 773 | 0 | $wMAP20220007085$g15/08/2024 Volumen 14 - Número 2 - agosto 2024 $tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022 | |
| 787 | 0 | $wMAP20240016739$aBégin, Jean-François$t A New approximation of annuity prices for ageperiodcohort models |