Modelling lifetime dependence for older ages using a multivariate Pareto distribution
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DOI: 10.1016/j.insmatheco.2016.06.016
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- Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael, 2013. "Lifetime dependence modelling using a truncated multivariate gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 542-549.
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- Pitacco, Ermanno & Denuit, Michel & Haberman, Steven & Olivieri, Annamaria, 2009. "Modelling Longevity Dynamics for Pensions and Annuity Business," OUP Catalogue, Oxford University Press, number 9780199547272.
- Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael, 2015. "A multivariate Tweedie lifetime model: Censoring and truncation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 203-213.
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Cited by:
- Kemaloglu, Sibel Acik & Shapiro, Arnold F. & Tank, Fatih & Apaydin, Aysen, 2018. "Using fuzzy logic to interpret dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 101-106.
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Keywords
Longevity risk; Lifetime dependence; Multivariate Pareto distribution; Quantiles; Fisher information; Bulk annuity pricing; Truncation;All these keywords.
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