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

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

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Document type	Document de travail (Working Paper)
Access type	Accès libre
Publication date	2012
Language	Anglais
Number of pages	12 pages
Collection	ISBA Discussion Paper - 2012/27
Affiliation	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords	life insurance ; multistate models ; first-order life tables
Links	http://hdl.handle.net/2078.1/128844[Handle]

See also
	[boreal:125334]	Worst-case actuarial calculations consistent with single- and multiple-decrement life tables