A General Semi-Markov Model for Coupled Lifetimes

DOI10.1080/10920277.2018.1513370zbMATH Open1411.91290OpenAlexW2914561783MaRDI QIDQ5742902FDOQ5742902

Authors:

Publication date: 8 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/227090

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zbMATH Keywords

semi-Markov modelmarital statusjoint-life annuitiestwo-population mortality improvement model

Mathematics Subject Classification ID

Applications of branching processes (60J85)

Cites Work

• Actuarial mathematics for life contingent risks
• A gravity model of mortality rates for two related populations
• Measuring Basis Risk in Longevity Hedges
• Natural hedging of life and annuity mortality risks
• Title not available (Why is that?)
• A step-by-step guide to building two-population stochastic mortality models
• Modeling period effects in multi-population mortality models: applications to Solvency II
• Normalized Exponential Tilting
• Optimal portfolio choice with annuities and life insurance for retired couples

Cited In (13)

• Joint lifetime modeling with matrix distributions
• Estimating the joint survival probabilities of married individuals
• Joint life care annuities to help retired couples to finance the cost of long-term care
• Title not available (Why is that?)
• Modelling stochastic mortality for dependent lives
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• The joint mortality of couples in continuous time
• Joint and survivor annuity valuation with a bivariate reinforced urn process
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Dynamic bivariate mortality modelling
• Modeling stochastic mortality for joint lives through subordinators
• A generic model for spouse's pensions with a view towards the calculation of liabilities
• Title not available (Why is that?)

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