Bivariate Survival Models for Coupled Lives

Jacques Carriere

Scandinavian Actuarial Journal, 2000, vol. 2000, issue 1, 17-32

Abstract: This article presents alternative models for modeling the dependence of the time of deaths of coupled lives and applies these to a data set from a life annuity portfolio. The data indicates a very high positive correlation in the time of deaths between coupled lives. The analysis concludes that a mixed frailty copula model with Gompertz marginals fits the data very well. Another model that fits the data well is based on a generalized Frank copula.

Date: 2000
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DOI: 10.1080/034612300750066700

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