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


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Gobbi, Fabio [1] ; Kolev, Nikolai [2] ; Mulinacci, Sabrina [1]
Total Authors: 3
[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

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