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A multivariate Tweedie lifetime model: Censoring and truncation

Alai, Daniel H., Landsman, Zinoviy, Sherris, Michael (2015) A multivariate Tweedie lifetime model: Censoring and truncation. Insurance: Mathematics and Economics, 64 . pp. 203-213. ISSN 0167-6687. (doi:10.1016/j.insmatheco.2015.05.011) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://doi.org/10.1016/j.insmatheco.2015.05.011

Abstract

We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component. Pools may be interpreted in various ways, from nation-wide cohorts to employer-based pension annuity portfolios. In general, the common stochastic component is representative of systematic longevity risk, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving.

Item Type: Article
DOI/Identification number: 10.1016/j.insmatheco.2015.05.011
Uncontrolled keywords: systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science > Actuarial Science
Depositing User: Daniel Alai
Date Deposited: 03 Jun 2015 10:34 UTC
Last Modified: 29 May 2019 14:37 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/48716 (The current URI for this page, for reference purposes)
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