A general shock model for modelling coupled lives and its application to life insurance. Issue 12 (18th June 2021)

• Record Type: Journal Article
• Authors: Lee, Hyunju
• Is Part Of: Communications in statistics. Volume 50:Issue 12(2021)
• Page Start: 2859
• Page End: 2876
• Publication Date: 2021-06-18
• Subjects: Common shock model -- generalized Polya process -- joint life -- stochastic dependence -- life annuities; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2019.1676449
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: In this paper, we develop a general common shock model for coupled lives by employing a new point process of shocks which generalizes the nonhomogeneous Poisson process (NHPP) and also by considering more plausible practical setting. We study the dependence structure and the dependence orderings of the proposed shock model. Based on it, we investigate the influence of dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks. Furthermore, we discuss relevant stochastic bounds.