Modelling stochastic mortality for dependent lives

DOI10.1016/J.INSMATHECO.2008.06.005zbMATH Open1189.91076OpenAlexW2119478879MaRDI QIDQ974810FDOQ974810

Authors: Elisa Luciano, Jaap Spreeuw, Elena Vigna 

Publication date: 8 June 2010

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12895/1/LucianoSpreeuwVignanewversion.pdf

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zbMATH Keywords

stochastic mortalityjoint survival functionbest fit copuladependent livesgeneration effecttime-dependent association

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Affine stochastic mortality
• Time-Dependent Association Measures for Bivariate Survival Distributions
• Types of dependence and time-dependent association between two lifetimes in single parameter copula models
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Cited In (36)

• The contribution of improved joint survival conditions to living standards: an equivalent consumption approach
• Joint lifetime modeling with matrix distributions
• Estimating the joint survival probabilities of married individuals
• GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS
• JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
• Weighted U-statistics for likelihood-ratio ordering of bivariate data
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Delta-gamma hedging of mortality and interest rate risk
• Models for stochastic mortality
• A general shock model for modelling coupled lives and its application to life insurance
• Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach
• A proposition of generalized stochastic Milevsky–Promislov mortality models
• Correlated intensity, counter party risks, and dependent mortalities
• 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
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• Stochastic mortality models: an infinite-dimensional approach
• A generalization of the Kaplan-Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models
• A dynamic bivariate common shock model with cumulative effect and its actuarial application
• Nonparametric estimation of multivariate distribution function for truncated and censored lifetime data
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
• Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
• Love and death: a Freund model with frailty
• Non‐parametric Copula Estimation Under Bivariate Censoring
• U-statistics based tests for marginal hazard rate orderings of two dependent variables
• BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE
• Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
• Stochastic Mortality Models and Pandemic Shocks
• Archimedean copulas derived from utility functions
• A feasible natural hedging strategy for insurance companies
• Two hybrid models for dependent death times of couple: a common shock approach
• A note on multiple life premiums for dependent lifetimes

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