The dependency premium based on a multifactor model for dependent mortality data

D’Amato, Valeria; Haberman, Steven; Piscopo, Gabriella

doi:10.1080/03610926.2017.1366523

Cited by 2 publications

(1 citation statement)

References 13 publications

(21 reference statements)

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“…Heterogeneity due to reported risk factors is addressed at policy issue during the underwriting process. There has been a growing literature on dependence mortality modeling in life insurance in recent years (see, e.g., [6] [7] [8]) where the focus has been on either the lower-tail dependence alone or upper-tail dependence alone. Frailty dependence modeling [9] [10] [11] [12] is an approach that accounts for dependence in event times of related individuals.…”

Section: Introductionmentioning

confidence: 99%

Positive Stable Frailty Approach in the Construction of Dependence Life-Tables

Walter¹,

Patrick²,

Ottieno³

et al. 2021

OJS

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Dependence may arise in insurance when the insureds are clustered into groups e.g. joint-life annuities. This dependence may be produced by sharing a common risk acting on mortality of members of the group. Various dependence models have been considered in literature; however, the focus has been on either the lower-tail dependence alone or upper-tail dependence alone. This article implements the frailty dependence approach to life insurance problems where most applications have been within medical setting. Our strategy is to use the conditional independence assumption given an observed association measure in a positive stable frailty approach to account for both lower and upper-tail dependence. The model is calibrated on the association of Kenyan insurers 2010 male and female published rates. The positive stable model is then proposed to construct dependence life-tables and generate life annuity payment streams in the competitive Kenyan market.

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