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.
| Original language | English |
|---|---|
| Pages (from-to) | 217-226 |
| Number of pages | 10 |
| Journal | Statistics in Transition New Series |
| Volume | 22 |
| Issue number | 1 |
| DOIs | |
| State | Published - Mar 2021 |
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
Keywords
- Conditional survival distribution
- Copula
- Kendall’s tau
- Life table
- Reserves