Bivariate Sarmanov phase-type distributions for joint lifetimes modeling

DOI10.1007/S11009-021-09875-5MaRDI QIDQ2152256zbMATH OpenOpenAlexFDO

Authors Khouzeima Moutanabbir, Hassan Abdelrahman

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/s11009-021-09875-5

zbMATH Keywords

dependencephase-type distributionSarmanov distributionmultiple life insurance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Reliability and life testing (62N05) Actuarial mathematics (91G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• scientific article; zbMATH DE number 3322636 (Why is no real title available?)
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• Coherent measures of risk
• Extremes and products of multivariate AC-product risks
• JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
• Markov aging process and phase-type law of mortality
• Matrix-Exponential Distributions in Applied Probability
• Modeling the effect of health: phase-type approach
• Modelling stochastic mortality for dependent lives
• Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions
• On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Phase-type aging modeling for health dependent costs
• Properties and applications of the sarmanov family of bivariate distributions
• Sarmanov family of bivariate distributions for multivariate loss reserving analysis
• Sarmanov family of multivariate distributions for bivariate dynamic claim counts model
• The use of phase-type models for disability insurance calculations

Cited in

(5)

• Joint lifetime modeling with matrix distributions
• Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
• A Riccati-Bernoulli sub-ODE method for some nonlinear evolution equations
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Block and Basu bivariate lifetime distribution in the presence of cure fraction

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