Multivariate Tweedie lifetimes: The impact of dependence

Daniel H. Alai, Zinoviy Landsman, Michael Sherris

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)692-712
Number of pages21
JournalScandinavian Actuarial Journal
Volume2016
Issue number8
DOIs
StatePublished - 13 Sep 2016

Bibliographical note

Publisher Copyright:
© 2015 Taylor & Francis.

Keywords

  • Dependence
  • Lifetime distribution
  • Multivariate tweedie
  • Systematic longevity risk

ASJC Scopus subject areas

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

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