文章基本信息

标题：Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk
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作者：Catalina Bolancé ; Catalina Bolancé ; Catalina Bolancé 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2021
卷号：9
期号：1
页码：77
DOI：10.3390/risks9040077
语种：English
出版社：MDPI, Open Access Journal
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.