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Nonparametric estimation of actuarial present value of deferred life annuity O. V. Gubina, G. M. Koshkin

By: Gubina, Oxana VContributor(s): Koshkin, Gennady MMaterial type: ArticleArticleOther title: Непараметрическое оценивание актуарной современной стоимости отсроченной ренты [Parallel title]Subject(s): непараметрическое оценивание | отсроченная пожизненная рента | среднеквадратическая ошибка | асимптотическая нормальностьGenre/Form: статьи в журналах Online resources: Click here to access online In: Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 46. С. 49-55Abstract: The paper deals with the estimation problem of the actuarial present value of the deferred life annuity. The nonpara-metric estimator of the deferred life annuity was constructed. We found the principal term of the asymptotic mean squared error (MSE) of the proposed estimator and proved its asymptotic normality. The simulations show that the empirical MSE of the annuity estimator decreases when the sample size increases.
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The paper deals with the estimation problem of the actuarial present value of the deferred life annuity. The nonpara-metric estimator of the deferred life annuity was constructed. We found the principal term of the asymptotic mean squared error (MSE) of the proposed estimator and proved its asymptotic normality. The simulations show that the empirical MSE of the annuity estimator decreases when the sample size increases.

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