Multivariate Tweedie lifetimes: the impact of dependence

Daniel H. Alai, Zinoviy Landsman and Michael Sherris

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 8, 692-712

Abstract: Systematic longevity risk is increasingly relevant for public pension schemes and insurance companies that provide life benefits. In view of this, mortality models should incorporate dependence between lives. However, the independent lifetime assumption is still heavily relied upon in the risk management of life insurance and annuity portfolios. This paper applies a multivariate Tweedie distribution to incorporate dependence, which it induces through a common shock component. Model parameter estimation is developed based on the method of moments and generalized to allow for truncated observations. The estimation procedure is explicitly developed for various important distributions belonging to the Tweedie family, and finally assessed using simulation.

Date: 2016
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DOI: 10.1080/03461238.2015.1007891

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