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https://doi.org/10.21256/zhaw-22927| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | Joint and survivor annuity valuation with a bivariate reinforced urn process |
| Authors: | Souto Arias, Luis A. Cirillo, Pasquale |
| et. al: | No |
| DOI: | 10.1016/j.insmatheco.2021.04.004 10.21256/zhaw-22927 |
| Published in: | Insurance: Mathematics and Economics |
| Volume(Issue): | 99 |
| Page(s): | 174 |
| Pages to: | 189 |
| Issue Date: | 2021 |
| Publisher / Ed. Institution: | Elsevier |
| ISSN: | 0167-6687 1873-5959 |
| Language: | English |
| Subjects: | Annuity; Bivariate survival function; Reinforced urn process; Bayesian nonparametrics; Right-censoring |
| Subject (DDC): | 332.38: Insurances 510: Mathematics |
| Abstract: | 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 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY 4.0: Attribution 4.0 International |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Business Information Technology (IWI) |
| Appears in collections: | Publikationen School of Management and Law |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 2021_Souto-Arias-Cirillo_Annuity-valuation-bivariate-urn-process.pdf | 2.54 MB | Adobe PDF |  View/Open |
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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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