On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies
Multipopulation mortality modeling is a significant research problem in actuarial science. Mortality functions involving multiple lives are also essential to determine the pricing of premiums. Moreover, the lifetime models based on dependence and asymmetry are more realistic. Hence, this paper appli...
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| Format: | Article |
| Language: | English |
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Universiti Kebangsaan Malaysia
2022
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| Online Access: | http://journalarticle.ukm.my/21033/ http://journalarticle.ukm.my/21033/1/SBL%2024.pdf |
| _version_ | 1848815254074556416 |
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| author | Kara, Emel Kizilok |
| author_facet | Kara, Emel Kizilok |
| author_sort | Kara, Emel Kizilok |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | Multipopulation mortality modeling is a significant research problem in actuarial science. Mortality functions involving multiple lives are also essential to determine the pricing of premiums. Moreover, the lifetime models based on dependence and asymmetry are more realistic. Hence, this paper applies an asymmetric copula model, Generalized FGM (GFGM) to model the bivariate joint distribution of future lifetimes. Premiums of first-death life insurance products are calculated based on the proposed model and compared with independent and symmetrical models. The results display that asymmetry has a significant effect on premium calculations. Also, it is concluded that the lowest premiums are generally in asymmetric lifetime models. This paper also provides analytical examples for the proposed model with Gompertz’s marginal law. |
| first_indexed | 2025-11-15T00:47:03Z |
| format | Article |
| id | oai:generic.eprints.org:21033 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:47:03Z |
| publishDate | 2022 |
| publisher | Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:210332023-02-03T08:29:27Z http://journalarticle.ukm.my/21033/ On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies Kara, Emel Kizilok Multipopulation mortality modeling is a significant research problem in actuarial science. Mortality functions involving multiple lives are also essential to determine the pricing of premiums. Moreover, the lifetime models based on dependence and asymmetry are more realistic. Hence, this paper applies an asymmetric copula model, Generalized FGM (GFGM) to model the bivariate joint distribution of future lifetimes. Premiums of first-death life insurance products are calculated based on the proposed model and compared with independent and symmetrical models. The results display that asymmetry has a significant effect on premium calculations. Also, it is concluded that the lowest premiums are generally in asymmetric lifetime models. This paper also provides analytical examples for the proposed model with Gompertz’s marginal law. Universiti Kebangsaan Malaysia 2022 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/21033/1/SBL%2024.pdf Kara, Emel Kizilok (2022) On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies. Sains Malaysiana, 51 (11). pp. 3807-3817. ISSN 0126-6039 http://www.ukm.my/jsm/index.html |
| spellingShingle | Kara, Emel Kizilok On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| title | On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| title_full | On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| title_fullStr | On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| title_full_unstemmed | On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| title_short | On the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| title_sort | on the impact of asymmetric dependence in the actuarial pricing of joint life insurance policies |
| url | http://journalarticle.ukm.my/21033/ http://journalarticle.ukm.my/21033/ http://journalarticle.ukm.my/21033/1/SBL%2024.pdf |