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Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/183149
Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk
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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.
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BOLANCÉ LOSILLA, Catalina and GUILLÉN, Montserrat. Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk. Risks . 2021. Vol. 9(4), num. 77, pags. 1-23. ISSN 2227-9091. [consulted: 21 of October of 2026]. Available at: https://hdl.handle.net/2445/183149