Nonparametric estimation of actuarial present value of deferred life annuity | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2019. № 46. DOI: 10.17223/19988605/46/6

Nonparametric estimation of actuarial present value of deferred life annuity

The paper deals with the estimation problem of the actuarial present value of the deferred life annuity. The nonpara-metric estimator of the deferred life annuity was constructed. We found the principal term of the asymptotic mean squared error (MSE) of the proposed estimator and proved its asymptotic normality. The simulations show that the empirical MSE of the annuity estimator decreases when the sample size increases.

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Keywords

асимптотическая нормальность, среднеквадратическая ошибка, отсроченная пожизненная рента, непараметрическое оценивание, asymptotic normality, mean squared error, deferred life annuity, nonparametric estimation

Authors

Name	Organization	E-mail
Gubina Oxana V.	Tomsk State University	gov7@mail.ru
Koshkin Gennady M.	Tomsk State University	kgm@mail.tsu.ru

Всего: 2

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