Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
| Autor: | Sabrina Mulinacci, Nikolai Kolev, Fabio Gobbi |
|---|---|
| Přispěvatelé: | Gobbi F., Kolev N., Mulinacci S. |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Singularity Computer science Maximum likelihood Joint life insurance pricing MACROECONOMIA Sample (statistics) Model parameters Type (model theory) Residual Data set Implicit common shock Life insurance Econometrics Statistics Probability and Uncertainty Joint (geology) Extended Marshall-Olkin model Mortality intensitie |
| Zdroj: | Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual) Universidade de São Paulo (USP) instacron:USP |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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