Estimation of the present value of m-year term life annuity using information on average of life Y. G. Dmitriev, G. M. Koshkin
Material type:
ArticleContent type: Текст Media type: электронный Other title: Оценивание современной стоимости m-летней пожизненной ренты с использованием информации о средней продолжительности жизни [Parallel title]Subject(s): непараметрические оценки | среднеквадратическая ошибка | асимптотическая нормальность | m-летняя пожизненная рента | информация о средней продолжительности жизниGenre/Form: статьи в сборниках Online resources: Click here to access online
In:
Международная научная конференция "Робастная статистика и финансовая математика – 2020" 15-16 декабря 2020 г. : сборник статей С. 23-31Abstract: 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.
Библиогр.: 7 назв.
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.
There are no comments on this title.