Estimation of present value of deffered life annuity using information about expectation of life Y. G. Dmitriev, G. M. Koshkin
Material type:
ArticleContent type: Текст Media type: электронный Subject(s): непараметрическая оценка | среднеквадратичная ошибка | асимптотическая нормальность | отложенная пожизненная рентаGenre/Form: статьи в сборниках Online resources: Click here to access online
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Applied methods of statistical analysis. Statistical computation and simulation : proceedings of the international workshop, 18-20 September 2019 P. 195-202Abstract: The paper deals with the estimation problem of the actuarial present value
of the continuous deffered 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 deffered 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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