英文标题：
《On bivariate lifetime modelling in life insurance applications》
---
作者：
Fran\\c{c}ois Dufresne, Enkelejd Hashorva, Gildas Ratovomirija and
  Youssouf Toukourou
---
最新提交年份：
2016
---
英文摘要：
  Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a group of people are independent. However, extensive research over the past decades suggests otherwise. In this paper, a copula approach is used to model the dependence between lifetimes within a married couple \\eH{using data from a large Canadian insurance company}. As a novelty, the age difference and the \\eH{gender} of the elder partner are introduced as an argument of the dependence parameter. \\green{Maximum likelihood techniques are} thus implemented for the parameter estimation. Not only do the results make clear that the correlation decreases with age difference, but also the dependence between the lifetimes is higher when husband is older than wife. A goodness-of-fit procedure is applied in order to assess the validity of the model. Finally, considering several products available on the life insurance market, the paper concludes with practical illustrations.
---
中文摘要：
涵盖多个寿命的保险和年金产品需要对未来寿命的联合分布进行建模。为了简化计算，在实践中通常假设一群人的未来寿命是独立的。然而，过去几十年的广泛研究表明情况并非如此。在本文中，使用copula方法对已婚夫妇的寿命之间的依赖性进行建模{使用加拿大一家大型保险公司的数据}。作为一个新颖的概念，年长伴侣的年龄差异和性别作为依赖参数的参数被引入。\\因此，格林{最大似然技术}被用于参数估计。研究结果不仅表明，这种相关性随着年龄的差异而降低，而且当丈夫比妻子大时，寿命之间的依赖性也更高。为了评估模型的有效性，采用了拟合优度程序。最后，考虑到人寿保险市场上的几种产品，本文最后给出了实际的例子。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
--

---
PDF下载：
-->