A multivariate Tweedie lifetime model: Censoring and truncation

Daniel H. Alai, Zinoviy Landsman, Michael Sherris

Research output: Contribution to journalArticlepeer-review


We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component. Pools may be interpreted in various ways, from nation-wide cohorts to employer-based pension annuity portfolios. In general, the common stochastic component is representative of systematic longevity risk, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving.

Original languageEnglish
Pages (from-to)203-213
Number of pages11
JournalInsurance: Mathematics and Economics
StatePublished - 1 Sep 2015

Bibliographical note

Publisher Copyright:
© 2015 Elsevier B.V.


  • Censoring
  • Dependence
  • Lifetime distribution
  • Multivariate Tweedie
  • Systematic longevity risk
  • Truncation

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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