Dynamic bivariate mortality modelling

DOI10.1007/S11009-022-09955-0zbMATH Open1489.91221OpenAlexW4221041849MaRDI QIDQ2152246FDOQ2152246

Authors: Ying Jiao, Yahia Salhi, Shihua Wang 

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-022-09955-0

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zbMATH Keywords

copuladependenceconditional survival probabilitybivariate mortalitybroken-heart syndrome

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Understanding, modelling and managing longevity risk: key issues and main challenges
• Analysis of multivariate survival data
• Bivariate extreme statistics. I
• Some Concepts of Dependence
• Affine processes and applications in finance
• Bivariate Survival Models for Coupled Lives
• Modelling stochastic mortality for dependent lives
• Title not available (Why is that?)
• A credibility approach of the Makeham mortality law
• Modeling the forward surface of mortality
• Affine stochastic mortality
• Title not available (Why is that?)
• What happens after a default: the conditional density approach
• Modelling the joint distribution of competing risks survival times using copula functions
• Mortality modelling with Lévy processes
• Calibrating affine stochastic mortality models using term assurance premiums
• Consistent dynamic affine mortality models for longevity risk applications
• Copula models of joint last survivor analysis
• Types of dependence and time-dependent association between two lifetimes in single parameter copula models
• Beyond the Gompertz law: exploring the late-life mortality deceleration phenomenon
• Title not available (Why is that?)
• Love and death: a Freund model with frailty
• Knowledge Elicitation of Gompertz' Law of Mortality
• Age-specific adjustment of graduated mortality
• A note on multiple life premiums for dependent lifetimes
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• Density approach in modeling successive defaults
• Modeling stochastic mortality for joint lives through subordinators
• A model-point approach to indifference pricing of life insurance portfolios with dependent lives
• Recent advances in reliability and quality in design

Cited In (11)

• Bivariate stochastic modeling of functional response with natural mortality
• The dependency premium based on a multifactor model for dependent mortality data
• Modelling stochastic mortality for dependent lives
• Title not available (Why is that?)
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• Pricing of endowment insurance products under the mortality dependence model
• The joint mortality of couples in continuous time
• Modeling stochastic mortality for joint lives through subordinators
• Love and death: a Freund model with frailty
• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
• Two hybrid models for dependent death times of couple: a common shock approach

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