Association and heterogeneity of insured lifetimes in the lee–carter framework

Michel Denuit, Esther Frostig

Research output: Contribution to journalArticlepeer-review


This paper is devoted to the study of some unexpected consequences of the Lee–Carter model for mortality projection. The fact that survival probabilities are governed by a stochastic process induces some positive dependence between insured lifetimes (namely, association). This, in turn, has an impact on solvency capital (as measured by distortion risk measures, for instance). Failing to take this dependence into account, by assuming falsely that the lifetimes are independent, leads to systematic underestimations of the risk capital. The heterogeneity between the policy benefits and the insured lifetimes is also studied (with the help of majorisation, Schur-increasingness and a frailty model).

Original languageEnglish
Pages (from-to)1-19
Number of pages19
JournalScandinavian Actuarial Journal
Issue number1
StatePublished - 1 Mar 2007


  • Exchangeability
  • Life annuities
  • Majorisation
  • Mortality projection
  • Positive dependence
  • Risk measures
  • Schur functions

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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