Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projection
- Author
- DENUIT, Michel1 ; DHAENE, Jan2
[1] Institut des Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium
[2] Catholic University of Leuven, Center for Risk and Insurance Studies, 3000 Leuven, Belgium - Source
Journal of computational and applied mathematics. 2007, Vol 203, Num 1, pp 169-176, 8 p ; ref : 15 ref
- CODEN
- JCAMDI
- ISSN
- 0377-0427
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Comonotonicity Mortality projection Risk measure Stop-loss order
- Keyword (fr)
- Analyse numérique Borne inférieure Borne supérieure Comonotonie Loi probabilité Mathématiques appliquées Mortalité Probabilité survie Somme variable aléatoire Mesure risque Projection mortalité
- Keyword (en)
- Numerical analysis Lower bound Upper bound Comonotony Probability distribution Applied mathematics Mortality Survival probability Random variable sum Risk measure Mortality projection
- Keyword (es)
- Análisis numérico Cota inferior Cota superior Comonotonía Ley probabilidad Matemáticas aplicadas Mortalidad Probabilidad sobrevivencia Suma variable aleatoria
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01F Distribution theory
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N1 Reliability, life testing, quality control
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 18607066
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.cam.2006.03.015 
https://dx.doi.org/10.1016/j.cam.2006.03.015
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