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Estimation of present value of whole life annuity using information about expectation of life Yu. G. Dmitriev, G. M. Koshkin

By: Dmitriev, Yury GContributor(s): Koshkin, Gennady MMaterial type: ArticleArticleOther title: Оценивание пожизненной ренты с использованием информации о средней продолжительности жизни [Parallel title]Subject(s): непараметрические оценки | пожизненная рента | дополнительная информация | асимптотическая нормальность | среднеквадратическая ошибкаGenre/Form: статьи в журналах Online resources: Click here to access online In: Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 45. С. 22-29Abstract: The paper deals with the estimation problem of the actuarial present value of the continuous whole life annuity using auxiliary information about the expectation of life. Nonparametric estimators of life annuity are constructed by individuals’ death moments. It is shown that the usage of such auxiliary information can often provide the mean squared error (MSE) smaller than that of standard estimators. An adaptive estimator is also proposed. The asymptotic normality of all these estimators is proved.
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The paper deals with the estimation problem of the actuarial present value of the continuous whole life annuity using auxiliary information about the expectation of life. Nonparametric estimators of life annuity are constructed by individuals’ death moments. It is shown that the usage of such auxiliary information can often provide the mean squared error (MSE) smaller than that of standard estimators. An adaptive estimator is also proposed. The asymptotic normality of all these estimators is proved.

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