Advanced search
Start date
Betweenand
(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL-OLKIN MODELS

Full text
Author(s):
Gobbi, Fabio [1] ; Kolev, Nikolai [2] ; Mulinacci, Sabrina [1]
Total Authors: 3
Affiliation:
[1] Univ Bologna, Dept Stat, Bologna - Italy
[2] Univ Sao Paulo, Inst Math & Stat, Sao Paulo - Brazil
Total Affiliations: 2
Document type: Journal article
Source: ASTIN BULLETIN; v. 49, n. 2, p. 409-432, MAY 2019.
Web of Science Citations: 0
Abstract

In this paper we suggest a modeling of joint life insurance pricing via Extended Marshall-Olkin (EMO) models and related copulas. These models are based on the combination of two approaches: the absolutely continuous copula approach, where the copula is used to capture dependencies due to environmental factors shared by the two lives, and the classical Marshall-Olkin model, where the association is given by accounting for a fatal event causing the simultaneous death of the two lives. New properties of the EMO model are established and applied to a sample of censored residual lifetimes of couples of insureds extracted from a data set of annuities contracts of a large Canadian life insurance company. Finally, some joint life insurance products are analyzed. (AU)

FAPESP's process: 13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry
Grantee:José Alberto Cuminato
Support type: Research Grants - Research, Innovation and Dissemination Centers - RIDC
FAPESP's process: 17/14819-2 - Marshall-Olkin model with delayed shocks effect and applications
Grantee:Nikolai Valtchev Kolev
Support type: Scholarships abroad - Research