# name
Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk

# metadata.dc.description.abstract[].value
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.

# metadata.dc.rights[].value
cc-by (c) Bolancé Losilla, Catalina et al., 2021

# metadata.dc.source[].value
Articles publicats en revistes  (Econometria, Estadística i Economia Aplicada)

# metadata.dc.title[].value
Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk