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Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling

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  • Khouzeima Moutanabbir

    (University of Johannesburg)

  • Hassan Abdelrahman

    (The American University in Cairo)

Abstract

In this paper, we are interested in the dependence between lifetimes based on a joint survival model. This model is built using the bivariate Sarmanov distribution with Phase-Type marginal distributions. Capitalizing on these two classes of distributions’ mathematical properties, we drive some useful closed-form expressions of distributions and quantities of interest in the context of multiple-life insurance contracts. The dependence structure that we consider in this paper is based on a general form of kernel function for the Bivariate Sarmanov distribution. The introduction of this new kernel function allows us to improve the attainable correlation range.

Suggested Citation

  • Khouzeima Moutanabbir & Hassan Abdelrahman, 2022. "Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1093-1118, June.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09875-5
    DOI: 10.1007/s11009-021-09875-5
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    References listed on IDEAS

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