| Texto completo | |
| Autor(es): |
Número total de Autores: 3
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| Afiliação do(s) autor(es): | [1] Univ Bologna, Dept Stat, Bologna - Italy
[2] Univ Sao Paulo, Inst Math & Stat, Sao Paulo - Brazil
Número total de Afiliações: 2
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| 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 |