Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications

Autor(es)

Gobbi, Fabio ^[1] ; Kolev, Nikolai ^[2] ; Mulinacci, Sabrina ^[3]

Afiliação do(s) autor(es)

^[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

• Tipo de documento: Artigo Científico
• Fonte: INSURANCE MATHEMATICS & ECONOMICS; v. 101, n. B, p. 342-358, NOV 2021.
• Citações Web of Science: 0

Resumo

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)

• 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: 18/23185-0 - O modelo estendido do Marshall-Olkin com choques implícitos e aplicações
• Beneficiário: Nikolai Valtchev Kolev
• Modalidade de apoio: Auxílio à Pesquisa - Pesquisador Visitante - Internacional