The dependency premium based on a multifactor model for dependent mortality data

Valeria D Amato, Steven Haberman and Gabriella Piscopo

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 1, 50-61

Abstract: As shown in the literature, the dependence structure in mortality data cannot be ignored in projecting future trends, in particular for a group of similar populations characterized by common long-run relationships. We propose a new multifactor model for capturing common and specific features of the trend over time. We implement the model and investigate its impact on actuarial valuations, through the introduction of the concept of the dependency premium.

Date: 2019
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DOI: 10.1080/03610926.2017.1366523

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