Artikel
Analysing the impact of dependency on conditional survival functions using copulas
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.
- Language
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Englisch
- Bibliographic citation
-
Journal: Statistics in Transition New Series ; ISSN: 2450-0291 ; Volume: 22 ; Year: 2021 ; Issue: 1 ; Pages: 217-226 ; New York: Exeley
- Subject
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conditional survival distribution
copula
Kendall’
s tau
reserves
life table
- Event
-
Geistige Schöpfung
- (who)
-
Safari-Katesari, Hadi
Zaroudi, Samira
- Event
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Veröffentlichung
- (who)
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Exeley
- (where)
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New York
- (when)
-
2021
- DOI
-
doi:10.21307/stattrans-2021-013
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Safari-Katesari, Hadi
- Zaroudi, Samira
- Exeley
Time of origin
- 2021
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