Dependence Modelling of Lifetimes in Egyptian Families

Kira Henshaw, Waleed Hana, Corina Constantinescu and Dalia Khalil ()
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Waleed Hana: Department of Insurance and Actuarial Science, Cairo University, Cairo 12613, Egypt
Corina Constantinescu: Department of Mathematical Sciences, Institute for Financial and Actuarial Mathematics, University of Liverpool, Liverpool L69 7ZL, UK
Dalia Khalil: Department of Insurance and Actuarial Science, Cairo University, Cairo 12613, Egypt

Risks, 2023, vol. 11, issue 1, 1-25

Abstract: In this study, we analyse a large sample of Egyptian social pension data which covers, by law, the policyholder’s spouse, children, parents and siblings. This data set uniquely enables the study and comparison of pairwise dependence between multiple familial relationships beyond the well-known husband and wife case. Applying Bayesian Markov Chain Monte Carlo (MCMC) estimation techniques with the two-step inference functions for margins (IFM) method, we model dependence between lifetimes in spousal, parent–child and child–parent relationships, using copulas to capture the strength of association. Dependence is observed to be strongest in child–parent relationships and, in comparison to the high-income countries of data sets previously studied, of lesser significance in the husband and wife case, often referred to as broken-heart syndrome. Given the traditional use of UK mortality tables in the modelling of mortality in Egypt, the findings of this paper will help to inform appropriate mortality assumptions specific to the unique structure of the Egyptian scheme.

Keywords: joint life mortality; dependence modelling; copulas; Markov chain Monte Carlo; Egyptian social security (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2023
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