JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL-OLKIN MODELS

Autor(es)

Gobbi, Fabio ^[1] ; Kolev, Nikolai ^[2] ; Mulinacci, Sabrina ^[1]

Afiliação do(s) autor(es)

^[1] Univ Bologna, Dept Stat, Bologna - Italy

^[2] Univ Sao Paulo, Inst Math & Stat, Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: ASTIN BULLETIN; v. 49, n. 2, p. 409-432, MAY 2019.
• Citações Web of Science: 0

Resumo

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)

• Processo FAPESP: 13/07375-0 - CeMEAI - Centro de Ciências Matemáticas Aplicadas à Indústria
• Beneficiário: Francisco Louzada Neto
• Modalidade de apoio: Auxílio à Pesquisa - Centros de Pesquisa, Inovação e Difusão - CEPIDs
• Processo FAPESP: 17/14819-2 - O Modelo de Marshall-Olkin com Choques de Efeito Atrazado e Aplicações
• Beneficiário: Nikolai Valtchev Kolev
• Modalidade de apoio: Bolsas no Exterior - Pesquisa