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

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)

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Cited in

(39)

• Estimating the joint survival probabilities of married individuals
• Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
• Stochastic mortality models: an infinite-dimensional approach
• Love and death: a Freund model with frailty
• Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
• Joint and survivor annuity valuation with a bivariate reinforced urn process
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• Two hybrid models for dependent death times of couple: a common shock approach
• Delta-gamma hedging of mortality and interest rate risk
• A copula approach for finding the type of dependency with mortality force function in insurance market
• JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
• Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models
• The joint mortality of couples in continuous time
• From regulatory life tables to stochastic mortality projections: the exponential decline model
• Stochastic Mortality Models and Pandemic Shocks
• Modelling mortality dependence: an application of dynamic vine copula
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Dynamic bivariate mortality modelling
• Archimedean copulas derived from utility functions
• Modelling mortality dependence with regime-switching copulas
• A proposition of generalized stochastic Milevsky-Promislov mortality models
• 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
• U-statistics based tests for marginal hazard rate orderings of two dependent variables
• Weighted U-statistics for likelihood-ratio ordering of bivariate data
• Nonparametric estimation of multivariate distribution function for truncated and censored lifetime data
• Geographical diversification and longevity risk mitigation in annuity portfolios
• Correlated intensity, counter party risks, and dependent mortalities
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• A feasible natural hedging strategy for insurance companies
• Non-parametric copula estimation under bivariate censoring
• The contribution of improved joint survival conditions to living standards: an equivalent consumption 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
• Dynamic Bayesian ratemaking: a Markov chain approximation approach
• Models for stochastic mortality
• Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence
• Modeling stochastic mortality for joint lives through subordinators
• Joint lifetime modeling with matrix distributions
• A note on multiple life premiums for dependent lifetimes

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