IDEAS home Printed from https://ideas.repec.org/r/cca/wpaper/43.html
   My bibliography  Save this item

Modelling stochastic mortality for dependent lives

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
  2. Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
  3. Gregory Ponthiere, 2016. "The contribution of improved joint survival conditions to living standards: an equivalent consumption approach," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 46(2), pages 407-449, February.
  4. Gribkova, Svetlana & Lopez, Olivier & Saint-Pierre, Philippe, 2013. "A simplified model for studying bivariate mortality under right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 181-192.
  5. Schröder, Carsten, 2012. "Profitability of pension contributions – evidence from real-life employment biographies," Journal of Pension Economics and Finance, Cambridge University Press, vol. 11(3), pages 311-336, July.
  6. Philippe Artzner & Karl-Theodor Eisele & Thorsten Schmidt, 2020. "Insurance-Finance Arbitrage," Papers 2005.11022, arXiv.org, revised Nov 2022.
  7. Antonio Romero-Medina & Matteo Triossi, 2013. "Games with capacity manipulation: incentives and Nash equilibria," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 41(3), pages 701-720, September.
  8. Sangita Kulathinal & Isha Dewan, 2023. "Weighted U-statistics for likelihood-ratio ordering of bivariate data," Statistical Papers, Springer, vol. 64(2), pages 705-735, April.
  9. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
  10. 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.
  11. Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou, 2016. "On bivariate lifetime modelling in life insurance applications," Papers 1601.04351, arXiv.org.
  12. Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
  13. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Working Papers hal-02896141, HAL.
  14. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
  15. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
  16. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
  17. Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary, 2017. "Analysis of survivorship life insurance portfolios with stochastic rates of return," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 16-31.
  18. 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.
  19. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
  20. Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A., 2023. "Joint lifetime modeling with matrix distributions," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-22, January.
  21. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
  22. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
  23. Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.
  24. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
  25. Svetlana Gribkova & Olivier Lopez, 2015. "Non-parametric Copula Estimation Under Bivariate Censoring," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 925-946, December.
  26. Sanders, Lisanne & Melenberg, Bertrand, 2016. "Estimating the joint survival probabilities of married individuals," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 88-106.
  27. Joanna Dębicka & Stanisław Heilpern & Agnieszka Marciniuk, 2023. "Pricing Marriage Insurance with Mortality Dependence," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 15(1), pages 31-64, March.
  28. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
  29. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  30. Wei, Jiaqin & Cheng, Xiang & Jin, Zhuo & Wang, Hao, 2020. "Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 244-256.
  31. Zhang, Yuxin & Brockett, Patrick, 2020. "Modeling stochastic mortality for joint lives through subordinators," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 166-172.
  32. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
  33. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.
  34. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
  35. Lopez, Olivier, 2012. "A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 505-516.
  36. Delong, Łukasz & Chen, An, 2016. "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 342-352.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.