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Autor
Safari-Katesari Hadi (Department of Mathematics, Southern Illinois University, Carbondale, USA), Zaroudi Samira (Department of Mathematics, Southern Illinois University, Carbondale, USA)
Tytuł
Analysing the Impact of Dependency on Conditional Survival Functions Using Copulas
Źródło
Statistics in Transition, 2021, vol. 22, nr 1, s. 217-226, rys., tab., bibliogr. s. 224-226
Słowa kluczowe
Funkcje połączeń, Analiza przeżycia, Ubezpieczenia na życie
Copula Functions, Survival analysis, Life insurance
Uwagi
summ.
Abstrakt
Nowadays, insurance contract reserves for coupled lives are considered jointly, which has a significant influence on the process of determining actuarial reserves. In this paper, conditional survival distributions of life insurance reserves are computed using copulas. Subsequently, the results are compared with an independence case. These calculations are based on selected Archimedean copulas and apply when the 'death of one individual' condition exists. The estimation outcome indicates that the insurer reserves calculated by means of Archimedean copulas are far more effective than those resulting from an independence assumption. The study demonstrates that copula-based dependency modelling improves the calculations of reserves made for actuarial purposes. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
Pokaż
Bibliografia
Pokaż
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  14. SAFARI-KATESARI, H., ZAROUDI, S., (2020). Count copula regression model using generalized beta distribution of the second kind. Statistics in Transition New Series, 21(2), pp. 1-12.
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  18. ZAROUDI, S., BEHZADI, M. H., and FARIDROHANI, M. R., (2018a). Application of Copula in Life Insurance. International Journal of Applied Mathematics and StatisticsTM, 57(3), pp. 162-168.
  19. ZAROUDI, S., BEHZADI, M. H., and FARIDROHANI, M. R., (2018b). A Copula Approach for Finding the Type of Dependency with Mortality Force Function in Insurance Market. Journal of Advances and Applications in Statistics, 53(2), pp. 103-121.
Cytowane przez
Pokaż
ISSN
1234-7655
Język
eng
URI / DOI
http://dx.doi.org/10.21307/stattrans-2021-013
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