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A Re-Examination of the Joint Mortality Functions

Author

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  • Heekyung Youn
  • Arkady Shemyakin
  • Edwin Herman

Abstract

Mortality analysis involving multiple lives is easily one of the more complicated aspects in the theory of life contingencies. In this paper, we re-investigate joint mortality functions and in particular, we examine an assertion that relates the joint-life and last-survivor random variables. This common assertion states that the sum of the lifetimes of the joint-life and the last-survivor statuses is equal to the sum of the lifetimes of the single statuses. However, we show that this assertion is not precisely correct. We therefore offer a modification to the statuses definitions so that this common assertion holds.

Suggested Citation

  • Heekyung Youn & Arkady Shemyakin & Edwin Herman, 2002. "A Re-Examination of the Joint Mortality Functions," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(1), pages 166-170.
    • Handle: RePEc:taf:uaajxx:v:6:y:2002:i:1:p:166-170
    DOI: 10.1080/10920277.2002.10596035
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    Cited by:

    1. Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
    2. Souto Arias, Luis A. & Cirillo, Pasquale, 2021. "Joint and survivor annuity valuation with a bivariate reinforced urn process," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 174-189.

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