Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling

Khouzeima Moutanabbir () and Hassan Abdelrahman ()
Additional contact information
Khouzeima Moutanabbir: University of Johannesburg
Hassan Abdelrahman: The American University in Cairo

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 1093-1118

Abstract: Abstract In this paper, we are interested in the dependence between lifetimes based on a joint survival model. This model is built using the bivariate Sarmanov distribution with Phase-Type marginal distributions. Capitalizing on these two classes of distributions’ mathematical properties, we drive some useful closed-form expressions of distributions and quantities of interest in the context of multiple-life insurance contracts. The dependence structure that we consider in this paper is based on a general form of kernel function for the Bivariate Sarmanov distribution. The introduction of this new kernel function allows us to improve the attainable correlation range.

Keywords: Dependence; Multiple life insurance; Sarmanov distribution; Phase-Type distribution; 60E05; 62H20 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-021-09875-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09875-5

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-021-09875-5

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().