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http://hdl.handle.net/2445/183149
Title: | Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk |
Author: | Bolancé Losilla, Catalina Guillén, Montserrat |
Keywords: | Risc (Assegurances) Risc (Economia) Estadística no paramètrica Longevitat Distribució (Teoria econòmica) Risk (Insurance) Risk Nonparametric statistics Longevity Distribution (Economic theory) |
Issue Date: | 15-Apr-2021 |
Publisher: | MDPI |
Abstract: | A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of age-at-death conditional on having survived a certain age is fundamental for evaluating the risk of lifetime insurance. Our proposal combines a parametric distributions with nonparametric sample information, leading to obtain an asymptotic unbiased estimator of extreme quantiles for alternative distributions with different right tail shape, i.e., heavy tail or exponential tail. A method for estimating the longevity risk of a continuous temporary annuity is also shown. We illustrate our proposal with an application to the official age-at-death statistics of the population in Spain. |
Note: | Reproducció del document publicat a: https://doi.org/10.3390/risks9040077 |
It is part of: | Risks , 2021, vol. 9(4), num. 77, p. 1-23 |
URI: | http://hdl.handle.net/2445/183149 |
Related resource: | https://doi.org/10.3390/risks9040077 |
ISSN: | 2227-9091 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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