Modelling lifetime dependence for older ages using a multivariate Pareto distribution

DOI10.1016/j.insmatheco.2016.06.016zbMath1371.91074OpenAlexW2470606491MaRDI QIDQ2520454

Michael Sherris, Daniel H. Alai, Zinoviy Landsman

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/56315/7/ParetoLifetimes.pdf

zbMATH Keywords

truncationFisher informationquantileslongevity riskmultivariate Pareto distributionbulk annuity pricinglifetime dependence

Mathematics Subject Classification ID

Related Items (3)

Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances ⋮ Lifetime dependence models generated by multiply monotone functions ⋮ Using fuzzy logic to interpret dependent risks

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