Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk
| dc.contributor.author | Bolancé Losilla, Catalina | |
| dc.contributor.author | Guillén, Montserrat | |
| dc.date.accessioned | 2022-02-15T21:08:01Z | |
| dc.date.available | 2022-02-15T21:08:01Z | |
| dc.date.issued | 2021-04-15 | |
| dc.date.updated | 2022-02-15T21:08:01Z | |
| dc.description.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. | |
| dc.format.extent | 23 p. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.idgrec | 718794 | |
| dc.identifier.issn | 2227-9091 | |
| dc.identifier.uri | https://hdl.handle.net/2445/183149 | |
| dc.language.iso | eng | |
| dc.publisher | MDPI | |
| dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.3390/risks9040077 | |
| dc.relation.ispartof | Risks , 2021, vol. 9(4), num. 77, p. 1-23 | |
| dc.relation.uri | https://doi.org/10.3390/risks9040077 | |
| dc.rights | cc-by (c) Bolancé Losilla, Catalina et al., 2021 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
| dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | |
| dc.subject.classification | Risc (Assegurances) | |
| dc.subject.classification | Risc (Economia) | |
| dc.subject.classification | Estadística no paramètrica | |
| dc.subject.classification | Longevitat | |
| dc.subject.classification | Distribució (Teoria econòmica) | |
| dc.subject.other | Risk (Insurance) | |
| dc.subject.other | Risk | |
| dc.subject.other | Nonparametric statistics | |
| dc.subject.other | Longevity | |
| dc.subject.other | Distribution (Economic theory) | |
| dc.title | Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk | |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
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