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) (KAR id:48716)
| 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. | |
| 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: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Daniel Alai |
| Date Deposited: | 03 Jun 2015 10:34 UTC |
| Last Modified: | 17 Aug 2022 10:58 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/48716 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Alai, Daniel H..
| Creator's ORCID: |
 https://orcid.org/0000-0001-7989-784X
|
|---|---|
| CReDIT Contributor Roles: |
- Export to:
- RefWorks
- EPrints3 XML
- BibTeX
- CSV
- Depositors only (login required):
Altmetric
Altmetric
