Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projection

Journal of Computational and Applied Mathematics

Volumn 203, Issue 1, 2007, Pages 169-176

  Denuit, Michel ^a   Dhaene, Jan ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

Comonotonicity; Mortality projection; Risk measure; Stop loss order

Indexed keywords

BOUNDARY CONDITIONS; CORRELATION METHODS; FUNCTION EVALUATION; MATHEMATICAL MODELS; RANDOM VARIABLES;

COMONOTONICITY; MORTALITY PROJECTION; RANDOM SURVIVAL PROBABILITIES; RISK MEASUREMENT; STOP-LOSS ORDER;

PROBABILITY DISTRIBUTIONS;

EID: 33847399141     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.03.015     Document Type: Article

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