Bolancé Losilla, CatalinaGuillén, Montserrat2022-02-152022-02-152021-04-152227-9091https://hdl.handle.net/2445/183149A 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.23 p.application/pdfengcc-by (c) Bolancé Losilla, Catalina et al., 2021https://creativecommons.org/licenses/by/4.0/Risc (Assegurances)Risc (Economia)Estadística no paramètricaLongevitatDistribució (Teoria econòmica)Risk (Insurance)RiskNonparametric statisticsLongevityDistribution (Economic theory)info:eu-repo/semantics/article7187942022-02-15info:eu-repo/semantics/openAccess