The joint mortality of couples in continuous time

DOI10.1016/J.INSMATHECO.2017.05.002MaRDI QIDQ2364010zbMATH OpenOpenAlexFDO

Authors Petar Jevtić, T. R. Hurd

Publication date 17 July 2017

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.05.002

zbMATH Keywords

continuous timestochastic mortalitydependent livesgeneration effectbereavementbroken-heart effectjoint survivorship

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 4131506 (Why is no real title available?)
• scientific article; zbMATH DE number 6971094 (Why is no real title available?)
• Affine processes for dynamic mortality and actuarial valuations
• Affine stochastic mortality
• Analysis of multivariate survival data
• Bivariate Survival Models for Coupled Lives
• Modelling stochastic mortality for dependent lives
• Mortality derivatives and the option to annuitise.
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Term-structure models. A graduate course
• Understanding Relationships Using Copulas
• Valuation of equity-indexed annuity under stochastic mortality and interest rate

Cited in

(11)

• Estimating the joint survival probabilities of married individuals
• Love and death: a Freund model with frailty
• Modelling stochastic mortality for dependent lives
• Brief synopsis of the scientific career of T. R. Hurd
• Dynamic bivariate mortality modelling
• The impact of stress factors on the price of widow's pensions
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• A Re-Examination of the Joint Mortality Functions
• Modeling stochastic mortality for joint lives through subordinators
• Joint lifetime modeling with matrix distributions
• Impact of the stress factor on the price of widow's pensions. Proofs

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