کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076394 1477211 2015 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A multivariate Tweedie lifetime model: Censoring and truncation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A multivariate Tweedie lifetime model: Censoring and truncation
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 64, September 2015, Pages 203-213
نویسندگان
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