지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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초록· 키워드
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In this paper, we analyze the effect of dependence between two insureds’ future lifetimes on valuing multiple life insurances and annuities. For the purpose, we first find a best copula to fit the joint mortality data consisting of the Korean married couples, and then evaluate the multiple life contracts under the copula model. A comparison study is performed regarding dependence status, and further extended to incorporate other risk factors such as longevity and interest rate. According to our findings, the student copula describes best our joint mortality data and the effect of dependence can be quite considerable depending on the contract type.
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참고문헌 (17)
참고문헌 신청
Bowers, N. L / 1997 / Actuarial mathematics / Society of Actuaries
Carriere, J. F / 1994 / An investigation of the Gompertz law of mortality / Actuarial Research Clearing House 2 : 161 ~ 177
Dickson, D. C. M / 2009 / Actuarial mathematics for life contingent risks / Cambridge University Press
Frees, E. W / 1996 / Annuity valuation with dependent mortality / The Journal of Risk and Insurance 63 : 229 ~ 261
Genest, C. / 1986 / The joy of copulas: Bivariate distributions with uniform marginals / American Statistician 40 : 280 ~ 283
Carriere, J. F / 1994 / An investigation of the Gompertz law of mortality / Actuarial Research Clearing House 2 : 161 ~ 177
Dickson, D. C. M / 2009 / Actuarial mathematics for life contingent risks / Cambridge University Press
Frees, E. W / 1996 / Annuity valuation with dependent mortality / The Journal of Risk and Insurance 63 : 229 ~ 261
Genest, C. / 1986 / The joy of copulas: Bivariate distributions with uniform marginals / American Statistician 40 : 280 ~ 283
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