Analysing the impact of dependency on conditional survival functions using copulas

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Statistics in Transition New Series

Polish Statistical Association

Central Statistical Office of Poland

Subject: Economics, Statistics & Probability

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ISSN: 1234-7655
eISSN: 2450-0291

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VOLUME 22 , ISSUE 1 (March 2021) > List of articles

Analysing the impact of dependency on conditional survival functions using copulas

Hadi Safari-Katesari * / Samira Zaroudi

Keywords : conditional survival distribution, copula, Kendall’s tau, reserves, life table

Citation Information : Statistics in Transition New Series. Volume 22, Issue 1, Pages 217-226, DOI: https://doi.org/10.21307/stattrans-2021-013

License : (CC BY-NC-ND 4.0)

Received Date : 17-July-2020 / Accepted: 06-November-2020 / Published Online: 03-March-2021

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ABSTRACT

Nowadays, insurance contract reserves for coupled lives are considered jointly, which has a significant influence on the process of determining actuarial reserves. In this paper, conditional survival distributions of life insurance reserves are computed using copulas. Subsequently, the results are compared with an independence case. These calculations are based on selected Archimedean copulas and apply when the ‘death of one individual’ condition exists. The estimation outcome indicates that the insurer reserves calculated by means of Archimedean copulas are far more effective than those resulting from an independence assumption. The study demonstrates that copula-based dependency modelling improves the calculations of reserves made for actuarial purposes.

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