In this paper we suggest an improvement of the Extended Marshall-Olkin methodology by allowing an implicit effect of the common shocks affecting the elements of the system. Properties of this new model are studied. We propose an empirical application to a sample of censored residual lifetimes of couples of insureds extracted from a data set of annuities contracts of a large Canadian life insurance company. We obtain estimation of the model parameters using a two-stage maximum likelihood technique and discuss the obtained results.
In this paper we suggest an improvement of the Extended Marshall-Olkin methodology by allowing an implicit effect of the common shocks affecting the elements of the system. Properties of this new model are studied. We propose an empirical application to a sample of censored residual lifetimes of couples of insureds extracted from a data set of annuities contracts of a large Canadian life insurance company. We obtain estimation of the model parameters using a two-stage maximum likelihood technique and discuss the obtained results.
Gobbi F., Kolev N., Mulinacci S. (2021). Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications. INSURANCE MATHEMATICS & ECONOMICS, 101(November 2021), 342-358 [10.1016/j.insmatheco.2021.08.007].
Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
Gobbi F.;Kolev N.;Mulinacci S.
2021
Abstract
In this paper we suggest an improvement of the Extended Marshall-Olkin methodology by allowing an implicit effect of the common shocks affecting the elements of the system. Properties of this new model are studied. We propose an empirical application to a sample of censored residual lifetimes of couples of insureds extracted from a data set of annuities contracts of a large Canadian life insurance company. We obtain estimation of the model parameters using a two-stage maximum likelihood technique and discuss the obtained results.| File | Dimensione | Formato | |
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