Abstract
Consider an insurance programs involving two dependent lives. We study the impact of several types of dependence relations on the present value of annuities, benefits and premiums. As an example for dependence we discuss a model where the couple is subject to a common cause of death.
Key words: joint life, last survivor, positive orthant dependent, concordance ordering, stochastic ordering, multi variate hazard rate, bi-exponential distribution.
Volume
Berlin
Year
2003
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Business Areas
Other Lines of Business
Publications
ASTIN Colloquium
