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JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS

Published online by Cambridge University Press:  01 March 2019

Fabio Gobbi ,
Nikolai Kolev  and
Sabrina Mulinacci
Fabio Gobbi
Affiliation:
Department of Statistics, University of Bologna,Italy E-mail: [email protected]
Nikolai Kolev
Affiliation:
Institute of Mathematics and Statistics, University of São Paulo, Brazil E-mail: [email protected]
Sabrina Mulinacci*
Affiliation:
Department of Statistics, University of Bologna, Italy E-mail: [email protected]
*
E-mail: [email protected]
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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.

Keywords

Bivariate Marshall–Olkin’s modelcopulamortality intensitysingularityjoint life insurance products
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 49 , Issue 2 , May 2019 , pp. 409 - 432
Copyright
Copyright © Astin Bulletin 2019 

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