| Full text | |
| Author(s): |
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: | Francisco Louzada Neto |
| Support Opportunities: | 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 Opportunities: | Scholarships abroad - Research |