Dynamic bivariate mortality modelling

DOI10.1007/S11009-022-09955-0MaRDI QIDQ2152246zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4131506 (Why is no real title available?)
• scientific article; zbMATH DE number 2101191 (Why is no real title available?)
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• A credibility approach of the Makeham mortality law
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• Bivariate Survival Models for Coupled Lives
• Bivariate extreme statistics. I
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• 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
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• Love and death: a Freund model with frailty
• Modeling stochastic mortality for joint lives through subordinators
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• Modelling stochastic mortality for dependent lives
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• Mortality modelling with Lévy processes
• Recent advances in reliability and quality in design
• Some Concepts of Dependence
• Types of dependence and time-dependent association between two lifetimes in single parameter copula models
• Understanding, modelling and managing longevity risk: key issues and main challenges
• What happens after a default: the conditional density approach

Cited in

(11)

• 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
• Modelling stochastic mortality for dependent lives
• Bivariate stochastic modeling of functional response with natural mortality
• scientific article; zbMATH DE number 7295028 (Why is no real title available?)
• Two hybrid models for dependent death times of couple: a common shock approach
• The joint mortality of couples in continuous time
• The dependency premium based on a multifactor model for dependent mortality data
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• Pricing of endowment insurance products under the mortality dependence model
• Modeling stochastic mortality for joint lives through subordinators

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