Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk

被引:7
|
作者
Bolance, Catalina [1 ]
Guillen, Montserrat [1 ]
机构
[1] Univ Barcelona, Riskctr IREA, Dept Econometr, Barcelona 08007, Spain
关键词
extreme quantile; kernel estimation; extreme value distribution; lifetime annuity; KERNEL DENSITY-ESTIMATION; BANDWIDTH SELECTION; HUMAN SURVIVAL; HUMAN LIFE; TRANSFORMATION;
D O I
10.3390/risks9040077
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页数:23
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