General Bounds for Lifetime Functionals Under Life Table Constraints in a Joint Actuarial-Financial Framework

Addressing the issue that life insurance life tables only provide survival probabilities at integer ages without specifying intra-annual mortality distributions, this study derives upper and lower bounds for mixed lifetime functionals compatible with integer-age life tables and given financial markets within a joint actuarial-financial framework. The study obtains complementary results under two different assumptions, characterizing the worst and optimal contract values corresponding to all mortality processes compatible with life table information and financial markets, providing insurers with a robust risk management tool to assess the impact of adverse mortality dynamics on variable annuities.