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https://doi.org/10.21256/zhaw-22927| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Joint and survivor annuity valuation with a bivariate reinforced urn process |
| Autor/-in: | Souto Arias, Luis A. Cirillo, Pasquale |
| et. al: | No |
| DOI: | 10.1016/j.insmatheco.2021.04.004 10.21256/zhaw-22927 |
| Erschienen in: | Insurance: Mathematics and Economics |
| Band(Heft): | 99 |
| Seite(n): | 174 |
| Seiten bis: | 189 |
| Erscheinungsdatum: | 2021 |
| Verlag / Hrsg. Institution: | Elsevier |
| ISSN: | 0167-6687 1873-5959 |
| Sprache: | Englisch |
| Schlagwörter: | Annuity; Bivariate survival function; Reinforced urn process; Bayesian nonparametrics; Right-censoring |
| Fachgebiet (DDC): | 332.38: Versicherungen 510: Mathematik |
| Zusammenfassung: | We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the existing literature, mainly relying on copulas. Based on urn processes and a one-factor construction, the proposed model is able to improve its performances over time, in line with the machine learning paradigm, and it also allows for the use of experts' judgements, to complement the empirical data. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/22927 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 4.0: Namensnennung 4.0 International |
| Departement: | School of Management and Law |
| Organisationseinheit: | Institut für Wirtschaftsinformatik (IWI) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2021_Souto-Arias-Cirillo_Annuity-valuation-bivariate-urn-process.pdf | 2.54 MB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Souto Arias, L. A., & Cirillo, P. (2021). Joint and survivor annuity valuation with a bivariate reinforced urn process. Insurance: Mathematics and Economics, 99, 174–189. https://doi.org/10.1016/j.insmatheco.2021.04.004
Souto Arias, L.A. and Cirillo, P. (2021) ‘Joint and survivor annuity valuation with a bivariate reinforced urn process’, Insurance: Mathematics and Economics, 99, pp. 174–189. Available at: https://doi.org/10.1016/j.insmatheco.2021.04.004.
L. A. Souto Arias and P. Cirillo, “Joint and survivor annuity valuation with a bivariate reinforced urn process,” Insurance: Mathematics and Economics, vol. 99, pp. 174–189, 2021, doi: 10.1016/j.insmatheco.2021.04.004.
SOUTO ARIAS, Luis A. und Pasquale CIRILLO, 2021. Joint and survivor annuity valuation with a bivariate reinforced urn process. Insurance: Mathematics and Economics. 2021. Bd. 99, S. 174–189. DOI 10.1016/j.insmatheco.2021.04.004
Souto Arias, Luis A., and Pasquale Cirillo. 2021. “Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process.” Insurance: Mathematics and Economics 99: 174–89. https://doi.org/10.1016/j.insmatheco.2021.04.004.
Souto Arias, Luis A., and Pasquale Cirillo. “Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process.” Insurance: Mathematics and Economics, vol. 99, 2021, pp. 174–89, https://doi.org/10.1016/j.insmatheco.2021.04.004.
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