Shifts in interest rate and common shock model for coupled lives

MaRDI QIDQ2965071zbMATHFDO

Authors Michel Denuit, Esther Frostig, Benny Levikson

Publication date 27 February 2017

zbMATH Keywords

positive dependenceannuitiescorrelation orderjoint lifelast survivor

Mathematics Subject Classification ID

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

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Cited in

(11)

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

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