Bivariate Survival Models for Coupled Lives

DOI10.1080/034612300750066700zbMath0959.62094OpenAlexW2131459097MaRDI QIDQ2703233

Jacques F. Carriere

Publication date: 1 March 2001

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/034612300750066700

zbMATH Keywords

maximum likelihood estimationKendall's taustochastic dependencefrailty modelsGompertz distributioncopula functionsSpearman's correlation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Survival analysis and censored data (62N99)

Related Items (33)

Analysis of survivorship life insurance portfolios with stochastic rates of return ⋮ The joint mortality of couples in continuous time ⋮ Estimating the joint survival probabilities of married individuals ⋮ Non‐parametric Copula Estimation Under Bivariate Censoring ⋮ Dependent Right Censorship in the MOMW Distribution ⋮ Dynamic bivariate mortality modelling ⋮ A dynamic bivariate common shock model with cumulative effect and its actuarial application ⋮ BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE ⋮ Survival analysis for a new compounded bivariate failure time distribution in shock and competing risk models via an EM algorithm ⋮ A general shock model for modelling coupled lives and its application to life insurance ⋮ Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications ⋮ Nonparametric estimation of Spearman's rank correlation with bivariate survival data ⋮ Copula-based inference for bivariate survival data with left truncation and dependent censoring ⋮ Bayesian inference for the parameters of mortality rate in the models of dependent lives with application in life insurance ⋮ Modeling stochastic mortality for joint lives through subordinators ⋮ A covariance-based test for shared frailty in multivariate lifetime data ⋮ A feasible natural hedging strategy for insurance companies ⋮ On construction of general classes of bivariate distributions ⋮ JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS ⋮ Joint lifetime modeling with matrix distributions ⋮ A generalization of the Kaplan-Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models ⋮ Love and death: a Freund model with frailty ⋮ Multi-population mortality models: a factor copula approach ⋮ Modelling stochastic mortality for dependent lives ⋮ Extreme Value Theory and Archimedean Copulas ⋮ Stochastic comparison of multivariate conditionally dependent mixtures ⋮ A note on multiple life premiums for dependent lifetimes ⋮ Joint and survivor annuity valuation with a bivariate reinforced urn process ⋮ Archimedean copulas derived from utility functions ⋮ A COPULA APPROACH FOR FINDING THE TYPE OF DEPENDENCY WITH MORTALITY FORCE FUNCTION IN INSURANCE MARKET ⋮ Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools ⋮ Nonparametric estimation of multivariate distribution function for truncated and censored lifetime data ⋮ Types of dependence and time-dependent association between two lifetimes in single parameter copula models

Cites Work

• Copulae of probability measures on product spaces
• On nonparametric measures of dependence for random variables
• Ordinal Measures of Association
• Frank's family of bivariate distributions
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
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