Two hybrid models for dependent death times of couple: a common shock approach

连接词(语言学) 人寿保险 计量经济学 精算学 休克(循环) 二元分析 功能(生物学) 妻子 事件(粒子物理) 生存功能 经济 数学 计算机科学 统计 法学 生存分析 物理 政治学 量子力学 医学 进化生物学 生物 内科学
作者
Zied Chaieb,Domenico De Giovanni,Djibril Gueye
出处
期刊:Scandinavian Actuarial Journal [Taylor & Francis]
卷期号:2024 (5): 440-462
标识
DOI:10.1080/03461238.2023.2264555
摘要

AbstractWe combine two recent credit risk models with the Marshall–Olkin setup to capture the dependence structure of bivariate survival functions. The main advantage of this approach is to handle fatal shock events in the dependence structure since these two credit risk models allow one to match the time of death of an individual with a catastrophe time event. We also provide a methodology for adding other sources of dependency to our approach. In such a setup, we derive the no-arbitrage prices of some common life insurance products for coupled lives. We demonstrate the performance of our method by investigating Sibuya's dependence function. Calibration is done on the data of joint life contracts from a Canadian company.Keywords: Intensity-based modelsdependence structurefatal shock eventsjoint life insurance AcknowledgmentsThis paper has benefited from the valuable comments of one anonymous reviewer, whom the authors wish to thank. The remaining errors are the authors' only responsibility.Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1 Throughout the paper x and y denote the ages of the husband and wife, respectively.2 Here, we have considered the independent case just for simplicity, but we could also consider, in the same spirit, the dependent case for the joint survival function using a copula function.3 In our setup, we have P(τx>s|Ft)=E[e−Γsx|FtW]E[e−Ks|FtK]. Analogous calculations can be done for the marginal probability P(τy>s|Ft).4 The authors wish to thank the Society of Actuaries, through the courtesy of Edward (Jed) Frees and Emiliano A. Valdez, for making available the data in this paper.5 This functional form of the marginal survival probability comes from assuming a stochastic intensity of the form dμh(u)=ahμh(u)+σhμh(h)dWh(u), with a,σ>0. A sufficient condition for Sh(u;t) to be a valid survival function is σ2<2dc. Additional details about this model can be found in Luciano et al. (Citation2008), Luciano & Vigna (Citation2005).6 Luciano et al. (Citation2008) refers to this model of association as the 4.2.20 Nelsen copula function. Originally proposed in Nelsen (Citation2007), a detailed study can be found in Spreeuw (Citation2006). The choice of this particular model of association is because it produces the best fit in a range of several Archimedean copulas for the data used in this paper (Luciano et al. Citation2008).Additional informationFundingDomenico De Giovanni gratefully acknowledges financial support from the PNRR project 'Italian Ageing, Age-It' (PE0000015 - CUP H73C22000900006) and Ministry of University and Research of Italy.
最长约 10秒,即可获得该文献文件

科研通智能强力驱动
Strongly Powered by AbleSci AI
更新
PDF的下载单位、IP信息已删除 (2025-6-4)

科研通是完全免费的文献互助平台,具备全网最快的应助速度,最高的求助完成率。 对每一个文献求助,科研通都将尽心尽力,给求助人一个满意的交代。
实时播报
情怀应助TH采纳,获得10
刚刚
红莲墨生完成签到,获得积分10
1秒前
1秒前
刘玥言完成签到,获得积分20
1秒前
Micky完成签到,获得积分10
2秒前
科研通AI5应助受伤的怀绿采纳,获得10
3秒前
ding应助111采纳,获得10
4秒前
4秒前
4秒前
xingxing完成签到,获得积分20
4秒前
研友_LBRPOL发布了新的文献求助10
5秒前
科研通AI2S应助shinn采纳,获得10
5秒前
5秒前
5秒前
hostghost应助纳斯达克采纳,获得10
5秒前
爱宝乐宝福宝应助灿灿采纳,获得10
6秒前
dudu123发布了新的文献求助10
6秒前
刘玥言发布了新的文献求助10
7秒前
swx完成签到,获得积分10
8秒前
CodeCraft应助河豚采纳,获得10
8秒前
吴巷玉完成签到 ,获得积分10
9秒前
9秒前
10秒前
10秒前
10秒前
火山发布了新的文献求助10
10秒前
10秒前
11秒前
12秒前
12秒前
小亮哈哈发布了新的文献求助10
13秒前
情怀应助董豆豆采纳,获得10
14秒前
希望天下0贩的0应助火山采纳,获得10
14秒前
复杂发布了新的文献求助10
15秒前
红莲墨生发布了新的文献求助10
15秒前
16秒前
今后应助拼搏的潘子采纳,获得10
16秒前
16秒前
CipherSage应助俏皮的飞烟采纳,获得30
17秒前
孟小茶发布了新的文献求助10
17秒前
高分求助中
Picture Books with Same-sex Parented Families: Unintentional Censorship 700
ACSM’s Guidelines for Exercise Testing and Prescription, 12th edition 500
Nucleophilic substitution in azasydnone-modified dinitroanisoles 500
不知道标题是什么 500
Indomethacinのヒトにおける経皮吸収 400
Phylogenetic study of the order Polydesmida (Myriapoda: Diplopoda) 370
Effective Learning and Mental Wellbeing 300
热门求助领域 (近24小时)
化学 材料科学 医学 生物 工程类 有机化学 生物化学 物理 内科学 纳米技术 计算机科学 化学工程 复合材料 遗传学 基因 物理化学 催化作用 冶金 细胞生物学 免疫学
热门帖子
关注 科研通微信公众号,转发送积分 3975375
求助须知:如何正确求助?哪些是违规求助? 3519700
关于积分的说明 11199305
捐赠科研通 3256034
什么是DOI,文献DOI怎么找? 1798049
邀请新用户注册赠送积分活动 877386
科研通“疑难数据库(出版商)”最低求助积分说明 806305