A multivariate Tweedie lifetime model: Censoring and truncation

Daniel H. Alai; Zinoviy Landsman; Michael Sherris

doi:10.1016/j.insmatheco.2015.05.011

A multivariate Tweedie lifetime model: Censoring and truncation

Daniel H. Alai, Zinoviy Landsman, Michael Sherris

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	203-213
Number of pages	11
Journal	Insurance: Mathematics and Economics
Volume	64
DOIs	https://doi.org/10.1016/j.insmatheco.2015.05.011
State	Published - 1 Sep 2015

Bibliographical note

Publisher Copyright:
© 2015 Elsevier B.V.

Keywords

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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10.1016/j.insmatheco.2015.05.011

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abstract = "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.",

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AU - Sherris, Michael

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N2 - 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.

AB - 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.

KW - Censoring

KW - Dependence

KW - Lifetime distribution

KW - Multivariate Tweedie

KW - Systematic longevity risk

KW - Truncation

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M3 - Article

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SN - 0167-6687

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SP - 203

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JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

ER -

A multivariate Tweedie lifetime model: Censoring and truncation

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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