A general shock model for modelling coupled lives and its application to life insurance

Hyunju Lee

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 12, 2859-2876

Abstract: In this paper, we develop a general common shock model for coupled lives by employing a new point process of shocks which generalizes the nonhomogeneous Poisson process (NHPP) and also by considering more plausible practical setting. We study the dependence structure and the dependence orderings of the proposed shock model. Based on it, we investigate the influence of dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks. Furthermore, we discuss relevant stochastic bounds.

Date: 2021
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DOI: 10.1080/03610926.2019.1676449

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