Markovian Approaches to Joint-Life Mortality

Ji, Fia Min; Hardy, Mary R.; Li, Johnny Siu-Hang

doi:10.1080/10920277.2011.10597625

Cited by 33 publications

(54 citation statements)

References 11 publications

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“…Parkes et al, 1969;Jagger and Sutton, 1991;Ji et al, 2011). Moreover it is shown that the broken-heart syndrome affects widowers more than widows (see Spreeuw and Owadally, 2013).…”

Section: Dependence and Jump In Intensitiesmentioning

confidence: 96%

“…Moreover, there can also be a long-term effect, that is, the effect of the death of the spouse is asymptotically non vanishing, or even increasing in the time elapsed. The Freund model, as well as models in Ji et al (2011) and Spreeuw and Owadally (2013), are flexible enough to allow short-term (and/or long-term) effect; on the other hand, Spreeuw (2006) shows that usual copula models can only capture long-term effect.…”

Section: Dependence and Jump In Intensitiesmentioning

confidence: 98%

“…According to this definition, many standard copula models (see e.g. Frees et al, 1996;Carriere, 2000) as well as the multiple state models in Ji et al (2011) and Spreeuw and Owadally (2013) all allow for the broken-heart syndrome. There exist alternative definitions measuring the long-term or short-term persistence of the effect of the bereavement.…”

Section: Dependence and Jump In Intensitiesmentioning

confidence: 99%

“…3 In their analysis (Ji et al, 2011) consider also the possibility of a direct transition from state 1 to state 4 to account for catastrophic events (car accidents, plane crash) implying simultaneous deaths. They use a 5-day cut-off to account for a possible lag in reporting.…”

Section: Individual Mortality Intensitiesmentioning

confidence: 99%

“…An alternative consists in introducing jumps in mortality intensity (the Freund model) at the time of death of the spouse, to capture the death of a spouse (see e.g. Spreeuw and Wang, 2008;Ji et al, 2011;Spreeuw and Owadally, 2013). Our paper extends this literature by mixing the Freund model, which allows for asymmetric reactions of the mortality intensities at a death event, with unobservable common * Corresponding author at: CREST, France.…”

Section: Introductionmentioning

confidence: 96%

See 4 more Smart Citations

Love and death: A Freund model with frailty

Gouriéroux¹,

Lu²

2015

Insurance: Mathematics and Economics

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a b s t r a c tWe introduce new models for analyzing the mortality dependence between individuals in a couple. The mortality risk dependence is usually taken into account in the actuarial literature by introducing special copulas with continuous density. This practice implies symmetric effects on the remaining lifetime of the surviving spouse. The new model allows for both asymmetric reactions by means of a Freund model, and risk dependence by means of an unobservable common risk factor (or frailty). These models allow for distinguishing in the lifetime dependence the component due to common lifetime (frailty) from the jump in mortality intensity upon death of spouse (Freund model). The model is applied to the pricing of insurance products such as joint life policy, last survivor insurance, or contracts with reversionary annuities. A discussion of identification is also provided.

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“…Parkes et al, 1969;Jagger and Sutton, 1991;Ji et al, 2011). Moreover it is shown that the broken-heart syndrome affects widowers more than widows (see Spreeuw and Owadally, 2013).…”

Section: Dependence and Jump In Intensitiesmentioning

confidence: 96%

Section: Dependence and Jump In Intensitiesmentioning

confidence: 98%

Section: Dependence and Jump In Intensitiesmentioning

confidence: 99%

Section: Individual Mortality Intensitiesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 96%

See 3 more Smart Citations

Love and death: A Freund model with frailty

Gouriéroux¹,

Lu²

2015

Insurance: Mathematics and Economics

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Statistical Dependence Structures

2017

Introduction to Bayesian Estimation and Copula Models of Dependence

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Application of the phase‐type mortality law to life contingencies and risk management

Kim

Bae

Kim

2017

Appl Stoch Models Bus & Ind

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The class of phase‐type distributions has recently gained much popularity in insurance applications due to its mathematical tractability and denseness in the class of distributions defined on positive real line. In this paper, we show how to use the phase‐type mortality law as an efficient risk management tool for various life insurance applications. In particular, pure premiums, benefit reserves, and risk‐loaded premiums using CTE for standard life insurance products are shown to be available in analytic forms, leading to efficient computation and straightforward implementation. A way to explicitly determine provisions for adverse deviation for interest rate and mortality is also proposed. Furthermore, we show how the interest rate risk embedded in life insurance portfolios can be analyzed via interest rate sensitivity index and diversification index which are constructed based on the decomposition of portfolio variance. We also consider the applicability of phase‐type mortality law under a few non‐flat term structures of interest rate. Lastly, we explore how other properties of phase‐type distributions may be applied to joint‐life products as well as subgroup risk ordering and pricing within a given pool of insureds. Copyright © 2017 John Wiley & Sons, Ltd.

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Markovian Approaches to Joint-Life Mortality

Cited by 33 publications

References 11 publications

Love and death: A Freund model with frailty

Love and death: A Freund model with frailty

Statistical Dependence Structures

Application of the phase‐type mortality law to life contingencies and risk management

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