Robust assessment of life insurance products
提出一种稳健评估方法，在残差寿命分布函数存在不确定性时，计算标准人寿保险合同保费的可能范围，并展示如何利用L2距离约束纳入未来死亡率信息。
Abstract In this paper we propose a robust assessment for the premium of a standard life insurance contract with respect to the uncertainty on the estimated residual lifetime distribution function. Specifically, we provide a method to derive the range of values that the premium of a given contract can attain when considering all residual lifetime distribution functions that satisfy an $$L^2$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>2</mml:mn> </mml:msup> </mml:math> distance constraint to a reference distribution function. Furthermore, we show that the $$L^2$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>2</mml:mn> </mml:msup> </mml:math> distance constraint can be used as flexible starting point to include further information regarding future mortality.