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.

Gobbi, F., Kolev, N., Mulinacci, S. (2019). Joint life insurance pricing using extended Marshall-Olkin models. ASTIN BULLETIN, 49(2), 409-432 [10.1017/asb.2019.3].

Joint life insurance pricing using extended Marshall-Olkin models

Gobbi F.;
2019-01-01

Abstract

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.
Gobbi, F., Kolev, N., Mulinacci, S. (2019). Joint life insurance pricing using extended Marshall-Olkin models. ASTIN BULLETIN, 49(2), 409-432 [10.1017/asb.2019.3].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/1118168