Analysing the impact of dependency on conditional survival functions using copulas

• Authors: Hadi Safari-Katesari , Samira Zaroudi

Abstracts

EN

Nowadays, insurance contract reserves for coupled lives are considered jointly, which has a significant influence on the process of determining actuarial reserves. In this paper, conditional survival distributions of life insurance reserves are computed using copulas. Subsequently, the results are compared with an independence case. These calculations are based on selected Archimedean copulas and apply when the 'death of one individual' condition exists. The estimation outcome indicates that the insurer reserves calculated by means of Archimedean copulas are far more effective than those resulting from an independence assumption. The study demonstrates that copula-based dependency modelling improves the calculations of reserves made for actuarial purposes.

Keywords

EN

conditional survival distribution; copula; kendall’s tau; reserves; life table

• Publisher: Główny Urząd Statystyczny
• Journal: Statistics in Transition new series
• Year: 2021
• Volume: 22
• Issue: 1
• Pages: 217-226

Contributors

author

Hadi Safari-Katesari

• School of Mathematical and Statistical Sciences, Southern Illinois University, Carbondale, USA

• https://orcid.org/0000000326303133

author

Samira Zaroudi

• School of Mathematical and Statistical Sciences, Southern Illinois University, Carbondale, USA

• https://orcid.org/0000000182906137

Identifiers

DOI

10.21307/stattrans-2021-013

Biblioteka Nauki

1363606