Analysis of Reserves in Multiple Life Insurance using Copula

Title & Authors
Analysis of Reserves in Multiple Life Insurance using Copula
Lee, Issac; Lee, Hangsuck; Kim, Hyun Tae;

Abstract
We study the dependence between the insureds in multiple-life insurance contracts. With the future lifetimes of the insureds modeled as correlated random variables, both premium and reserve are different from those under independence. In this paper, Gaussian copula is used to impose the dependence between the insureds with Gompertz marginals. We analyze the change of the reserves of standard multiple-life insurance contracts at various dependence levels. We find that the reserves based on the assumption of dependent lifetimes are quite different for some contracts from those under independence as its correlation increase, which elucidate the importance of the dependence model in multiple-life contingencies in both theory and practice.
Keywords
Gaussian copula;reserves analysis;multiple life insurance;joint life survival function;
Language
English
Cited by
1.
코퓰라와 커먼-쇽을 이용한 연생상품의 분석,김도영;이삭;이항석;

응용통계연구, 2014. vol.27. 7, pp.1097-1114
1.
Analysis of Multiple Life Insurance using Copula and Common Shock, Korean Journal of Applied Statistics, 2014, 27, 7, 1097
2.
Consideration of a structural-change point in the chain-ladder method, Communications for Statistical Applications and Methods, 2017, 24, 3, 211
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