Multivariate lifetime distributions for the exponential dispersion family

Daniel H. Alai

Scandinavian Actuarial Journal, 2019, vol. 2019, issue 5, 387-405

Abstract: We consider a general form of a multivariate lifetime model in which dependence is induced via a common shock component. The univariate marginal distributions come from the well-known and widely applied exponential dispersion family that includes the normal, compound-Poisson, gamma and negative binomial distributions. Any combination of truncation or censoring, either left or right, is considered, for which all moments are derived. This allows for the model to be calibrated to any affine transformation of lifetime data.

Date: 2019
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DOI: 10.1080/03461238.2018.1556727

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