Shifts in interest rate and common shock model for coupled lives

zbMATH Open1356.91057MaRDI QIDQ2965071FDOQ2965071

Authors: Michel Denuit, Esther Frostig, Benny Levikson 

Publication date: 27 February 2017

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zbMATH Keywords

positive dependenceannuitiescorrelation orderjoint lifelast survivor

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (9)

• JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
• The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
• A general shock model for modelling coupled lives and its application to life insurance
• Lack-of-partial-memory and aging properties of multivariate generalized Marshall-Olkin distributions
• Limit theorems for local cumulative shock models with cluster shock structure
• A dynamic bivariate common shock model with cumulative effect and its actuarial application
• Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
• Livestock mortality catastrophe insurance using fatal shock process
• Contingent means in multi-life models

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