Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-22927
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Souto Arias, Luis A. | - |
dc.contributor.author | Cirillo, Pasquale | - |
dc.date.accessioned | 2021-07-30T13:44:24Z | - |
dc.date.available | 2021-07-30T13:44:24Z | - |
dc.date.issued | 2021 | - |
dc.identifier.issn | 0167-6687 | de_CH |
dc.identifier.issn | 1873-5959 | de_CH |
dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/22927 | - |
dc.description.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. | de_CH |
dc.language.iso | en | de_CH |
dc.publisher | Elsevier | de_CH |
dc.relation.ispartof | Insurance: Mathematics and Economics | de_CH |
dc.rights | http://creativecommons.org/licenses/by/4.0/ | de_CH |
dc.subject | Annuity | de_CH |
dc.subject | Bivariate survival function | de_CH |
dc.subject | Reinforced urn process | de_CH |
dc.subject | Bayesian nonparametrics | de_CH |
dc.subject | Right-censoring | de_CH |
dc.subject.ddc | 332.38: Versicherungen | de_CH |
dc.subject.ddc | 510: Mathematik | de_CH |
dc.title | Joint and survivor annuity valuation with a bivariate reinforced urn process | de_CH |
dc.type | Beitrag in wissenschaftlicher Zeitschrift | de_CH |
dcterms.type | Text | de_CH |
zhaw.departement | School of Management and Law | de_CH |
zhaw.organisationalunit | Institut für Wirtschaftsinformatik (IWI) | de_CH |
dc.identifier.doi | 10.1016/j.insmatheco.2021.04.004 | de_CH |
dc.identifier.doi | 10.21256/zhaw-22927 | - |
zhaw.funding.eu | No | de_CH |
zhaw.originated.zhaw | Yes | de_CH |
zhaw.pages.end | 189 | de_CH |
zhaw.pages.start | 174 | de_CH |
zhaw.publication.status | publishedVersion | de_CH |
zhaw.volume | 99 | de_CH |
zhaw.publication.review | Peer review (Publikation) | de_CH |
zhaw.webfeed | W: Spitzenpublikation | de_CH |
zhaw.author.additional | No | de_CH |
zhaw.display.portrait | Yes | de_CH |
Appears in collections: | Publikationen School of Management and Law |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
2021_Souto-Arias-Cirillo_Annuity-valuation-bivariate-urn-process.pdf | 2.54 MB | Adobe PDF | View/Open |
Show simple item record
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.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.