Lifetime dependence modelling using a truncated multivariate gamma distribution

DOI10.1016/j.insmatheco.2013.03.011zbMath1284.91196OpenAlexW3125159784MaRDI QIDQ2443234

Michael Sherris, Daniel H. Alai, Zinoviy Landsman

Publication date: 4 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.011

zbMATH Keywords

lifetime distributiondependencesystematic longevity riskmultivariate gammaannuity valuation

Mathematics Subject Classification ID

Mathematical geography and demography (91D20)

Related Items

A dynamic bivariate common shock model with cumulative effect and its actuarial application ⋮ Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances ⋮ Multivariate Tweedie lifetimes: the impact of dependence ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Multivariate lifetime distributions for the exponential dispersion family ⋮ A multivariate Tweedie lifetime model: censoring and truncation ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ An approximation method for risk aggregations and capital allocation rules based on additive risk factor models ⋮ Modelling lifetime dependence for older ages using a multivariate Pareto distribution

Uses Software

• BB
• Human Mortality

Cites Work

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• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Expansions for the multivariate chi-square distribution
• On a multivariate gamma
• Survival analysis. Techniques for censored and truncated data
• Two-Point Step Size Gradient Methods