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Association and heterogeneity of insured lifetimes in the Lee-Carter framework. (English) Zbl 1141.91025

The authors discuss some of the consequences of the use of projected life tables. From the Lee-Carter specification, they establish that the remaining lifetimes are associated. Also, present values of pure endowments and life annuities are associated. This allows authors to use the convex order to compare the riskiness of the situation with respect to independence. Large portfolio approximations are obtained in the case of pure endowments.

MSC:

91B30 Risk theory, insurance (MSC2010)
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