Open Access Open Access  Restricted Access Subscription or Fee Access

Application of Copula in Life Insurance

Samira Zaroudi, Mohammad H. Behzadi, Mohammad R. Faridrohani

Abstract



In traditional literature, the remaining lifetime of individuals in multiple-life distribution is assumed to be independent. But some empirical studies showed that this assumption is more than what is in fact rooted for the convenience of computation. For solving this problem, copula models are very appropriate tools for assessing the relationship between two lifetimes. In this paper, based on Kendall correlation between two lifetimes by copula models, life insurance reserves have been calculated using the lifetime table used in Iran's insurance industry. These calculations have been
carried out under some Archimedean copulas for "survival of both individuals" status. Our estimation results indicate that insurer reserves with using Archimedean copula are greater than independence condition. So, according to this result, considering the association between two lifetimes for calculating the optimal reserves by the insurer is highly recommended.

Keywords


Archimedean Copula, Life insurance, reserves, Life table, dependent measure, Survival distribution.

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.