Worst-case actuarial calculations consistent with single- and multiple-decrement life tables

The present work complements the recent paper by Barz and Müller (2012). Specifically, upper and lower bounds are derived for the force of mortality when one-year death probabilities are given, assuming a monotonic, convex or concave shape. Based on these bounds, worst-case scenarios are derived depending on the mix of benefits in the case of survival and of death comprised in a specific insurance policy.

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Year of publication:	2013
Authors:	Christiansen, Marcus C. ; Denuit, Michel M.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 52.2013, 1, p. 1-5
Publisher:	Elsevier
Subject:	Life insurance \| Multistate models \| First-order life tables \| Fractional age assumptions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011046599