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Modelling lifetime dependence for older ages using a multivariate Pareto distribution

Alai, Daniel H., Landsman, Zinoviy, Sherris, Michael (2016) Modelling lifetime dependence for older ages using a multivariate Pareto distribution. Insurance: Mathematics and Economics, 70 . pp. 272-285. ISSN 0167-6687. (doi:10.1016/j.insmatheco.2016.06.016) (KAR id:56315)

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Abstract

The main driver of longevity risk is uncertainty in old-age mortality, especially surrounding potential dependence structures. We investigate a multivariate Pareto distribution that allows for the exploration of a variety of applications, from portfolios of standard annuities to joint-life annuity products for couples. Given the anticipated continued increase of supercentenarians, the heavy-tailed nature of the Pareto distribution is appropriate for this application. In past work, it has been shown that even a little dependence between lives can lead to much higher uncertainty. Therefore, the ability to assess and incorporate the appropriate dependence structure, whilst allowing for extreme observations, significantly improves the pricing and risk management of life-benefit products.

Item Type: Article
DOI/Identification number: 10.1016/j.insmatheco.2016.06.016
Uncontrolled keywords: Longevity Risk, Lifetime Dependence, Multivariate Pareto Distribution, Quantiles, Fisher Information, Bulk Annuity Pricing, 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: 15 Jul 2016 10:21 UTC
Last Modified: 16 Feb 2021 13:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/56315 (The current URI for this page, for reference purposes)
Alai, Daniel H.: https://orcid.org/0000-0001-7989-784X

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