| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] Univ Siena, Dept Econ & Stat, Siena - Italy
[2] Univ Sao Paulo, Inst Math & Stat, Sao Paulo - Brazil
[3] Univ Bologna, Dept Stat, Bologna - Italy
Total Affiliations: 3
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| Document type: | Journal article |
| Source: | INSURANCE MATHEMATICS & ECONOMICS; v. 101, n. B, p. 342-358, NOV 2021. |
| Web of Science Citations: | 0 |
| Abstract | |
In this paper we suggest an improvement of the Extended Marshall-Olkin methodology by allowing an implicit effect of the common shocks affecting the elements of the system. Properties of this new model are studied. We propose an empirical application 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. We obtain estimation of the model parameters using a two-stage maximum likelihood technique and discuss the obtained results. (C) 2021 Elsevier B.V. All rights reserved. (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: | 18/23185-0 - Exteded Marshall-Olkin models with implicit shocks and applications |
| Grantee: | Nikolai Valtchev Kolev |
| Support Opportunities: | Research Grants - Visiting Researcher Grant - International |