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Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications

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  • Gobbi, Fabio
  • Kolev, Nikolai
  • Mulinacci, Sabrina

Abstract

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.

Suggested Citation

  • Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2021. "Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 342-358.
    • Handle: RePEc:eee:insuma:v:101:y:2021:i:pb:p:342-358
    DOI: 10.1016/j.insmatheco.2021.08.007
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    References listed on IDEAS

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    More about this item

    Keywords

    Extended Marshall-Olkin model; Implicit common shocks; Joint life insurance pricing; Mortality intensities; Singularity;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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