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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-22927
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dc.contributor.authorSouto Arias, Luis A.-
dc.contributor.authorCirillo, Pasquale-
dc.date.accessioned2021-07-30T13:44:24Z-
dc.date.available2021-07-30T13:44:24Z-
dc.date.issued2021-
dc.identifier.issn0167-6687de_CH
dc.identifier.issn1873-5959de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/22927-
dc.description.abstractWe 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.isoende_CH
dc.publisherElsevierde_CH
dc.relation.ispartofInsurance: Mathematics and Economicsde_CH
dc.rightshttp://creativecommons.org/licenses/by/4.0/de_CH
dc.subjectAnnuityde_CH
dc.subjectBivariate survival functionde_CH
dc.subjectReinforced urn processde_CH
dc.subjectBayesian nonparametricsde_CH
dc.subjectRight-censoringde_CH
dc.subject.ddc332.38: Versicherungende_CH
dc.subject.ddc510: Mathematikde_CH
dc.titleJoint and survivor annuity valuation with a bivariate reinforced urn processde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wirtschaftsinformatik (IWI)de_CH
dc.identifier.doi10.1016/j.insmatheco.2021.04.004de_CH
dc.identifier.doi10.21256/zhaw-22927-
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end189de_CH
zhaw.pages.start174de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume99de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedW: Spitzenpublikationde_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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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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