Robust assessment of life insurance products

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 distance constraint to a reference distribution function. Furthermore, we show that the L-2 distance constraint can be used as flexible starting point to include further information regarding future mortality.