Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
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 cou...
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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2021-11, Vol.101, p.342-358 |
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| container_title | Insurance, mathematics & economics |
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| creator | Gobbi, Fabio Kolev, Nikolai Mulinacci, Sabrina |
| description | 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. |
| doi_str_mv | 10.1016/j.insmatheco.2021.08.007 |
| format | Article |
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| ispartof | Insurance, mathematics & economics, 2021-11, Vol.101, p.342-358 |
| issn | 0167-6687 1873-5959 |
| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Annuities Econometrics Extended Marshall-Olkin model Implicit common shocks Insurance Insurance industry Insurance policies Joint life insurance pricing Life insurance Mortality intensities Parameter estimation Singularity |
| title | Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications |
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