Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications

Fabio Gobbi, Nikolai Kolev and Sabrina Mulinacci

Insurance: Mathematics and Economics, 2021, vol. 101, issue PB, 342-358

Abstract: In this paper we suggest an improvement of the Extended Marshall-Olkin methodology by allowing an implicit effect of the common shocks affecting the elements of the system. Properties of this new model are studied. We propose an empirical application to a sample of censored residual lifetimes of couples of insureds extracted from a data set of annuities contracts of a large Canadian life insurance company. We obtain estimation of the model parameters using a two-stage maximum likelihood technique and discuss the obtained results.

Keywords: Extended Marshall-Olkin model; Implicit common shocks; Joint life insurance pricing; Mortality intensities; Singularity (search for similar items in EconPapers)
JEL-codes: C34 C46 G22 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:101:y:2021:i:pb:p:342-358

DOI: 10.1016/j.insmatheco.2021.08.007

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