arXiv releases v3 of the paper on upper and lower bounds of lifetime functions under life table constraints

Jean-Loup Dupret and Edouard Motte published an updated research paper on arXiv deriving upper and lower bounds for lifespan mixture functionals compatible with integer-age life tables and given financial markets under a joint actuarial-financial framework. Addressing the problem that life insurance life tables only provide survival probabilities at integer ages without specifying intra-year mortality distributions, the study obtains complementary results under two different assumptions: the first assumes each death trajectory is almost surely consistent with all tabulated one-year survival probabilities; the second is a relaxed formulation allowing mortality rate bias while remaining consistent with a given reference life table in expectation. The study results can characterize the worst and optimal contract values corresponding to all death 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.

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