Estimation of the present value of m-year term life annuity using information on average of life
The paper deals with the problem of estimating the actuarial present value of a continuous - year term life annuity using auxiliary information on average of life. Note that insurance companies often offer their clients to conclude contracts of - year annuities. Nonparametric estimators of life annu...
| Published in: | Международная научная конференция "Робастная статистика и финансовая математика - 2020" (15-16 декабря 2020 г.) : сборник статей С. 23-31 |
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| Format: | Book Chapter |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000927193 Перейти в каталог НБ ТГУ |
| Summary: | The paper deals with the problem of estimating the actuarial present value of a continuous - year term life annuity using auxiliary information on average of life. Note that insurance companies often offer their clients to conclude contracts of - year annuities. Nonparametric estimators of life annuities are constructed from data on the lifetimes of individuals. Found the principal terms of the asymptotic mean squared errors (MSEs) of the proposed estimators; their asymptotic normality is proved. It is shown that the use of auxiliary information often leads to a lower MSE of the modified estimator compared to the MSE of the traditional estimator. An adaptive estimator is proposed that can be applied in practice. |
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| Bibliography: | Библиогр.: 7 назв. |
| ISBN: | 9785946217507 9785946219907 |