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http://dx.doi.org/10.5351/KJAS.2014.27.7.1097

Analysis of Multiple Life Insurance using Copula and Common Shock  

Kim, Doyoung (Department of Actuarial Science, Sungkyunkwan University)
Lee, Issac (Department of Actuarial Science, Sungkyunkwan University)
Lee, Hangsuck (Department of Actuarial Science, Sungkyunkwan University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.7, 2014 , pp. 1097-1114 More about this Journal
Abstract
Multiple-life policies pay a benefit on the first death or the last death among the group of lives. In practice, the future lifetime random variable of policy holders has been considered to be independent, but it is more rational to take into account the correlations among the policy holders. In this paper, the Gaussian copula is applied to re ect the correlations among policy holders and then to diversify the common shock of the multiple life policies which follows an exponential distribution. Five case studies demonstrate its usefulness of using copula in calculating the premiums of the multiple-life policies including the common shock.
Keywords
Mulitple-life policies; Gaussian copula; common shock; dependence among the lifetimes;
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Times Cited By KSCI : 2  (Citation Analysis)
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