Stochastic approximations in CBD mortality projection models

摘要

Comonotonicity has been successfully applied to derive various approximations in the single-factor mortality projection model proposed by Lee and Carter (1992), after Denuit and Dhaene (2007). However, this approach appears to lead to inaccurate approximations in the multi-factor mortality projection models developed by Cairns et al. (2006). Therefore, we propose in this paper an alternative approach which consists in keeping the correlation structure within the time factors unchanged for every calendar year. Proceeding in this way, we provide accurate approximations useful for insurance practitioners avoiding them the simulations within simulations problem whatever the size of their portfolios.