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North American Actuarial Journal Volume 15, 2011 - Issue 3
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Original Articles

Markovian Approaches to Joint-Life Mortality

Min Ji PhD, FIA Department of Mathematics, Towson University, Towson, Maryland
,
Mary Hardy Financial Risk Management in the Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada
&
Johnny Siu-Hang Li Financial Risk Management in the Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada
Pages 357-376 | Published online: 27 Dec 2012

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Igor Ferreira do Nascimento. (2022) Generating and estimating dependency between binary variables. Communications in Statistics - Simulation and Computation 0:0, pages 1-10.
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Min Ji & Rui Zhou. (2019) A General Semi-Markov Model for Coupled Lifetimes. North American Actuarial Journal 23:1, pages 98-119.
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Hyunju Lee & Ji Hwan Cha. (2018) A dynamic bivariate common shock model with cumulative effect and its actuarial application. Scandinavian Actuarial Journal 2018:10, pages 890-906.
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Yinghui Dong, Kam Chuen Yuen & Guojing Wang. (2018) Regime-switching pure jump processes and applications in the valuation of mortality-linked products. Communications in Statistics - Theory and Methods 47:6, pages 1372-1391.
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Yosuke Fujisawa & Johnny Siu-Hang Li. (2012) The Impact of the Automatic Balancing Mechanism for the Public Pension in Japan on the Extreme Elderly. North American Actuarial Journal 16:2, pages 207-239.
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Articles from other publishers (24)

Manuel Ventura-Marco, Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González. (2023) Joint life care annuities to help retired couples to finance the cost of long-term care. Insurance: Mathematics and Economics 113, pages 122-139.
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Kira Henshaw, Waleed Hana, Corina Constantinescu & Dalia Khalil. (2023) Dependence Modelling of Lifetimes in Egyptian Families. Risks 11:1, pages 18.
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Hansjörg Albrecher, Martin Bladt & Alaric J. A. Müller. (2023) Joint lifetime modeling with matrix distributions. Dependence Modeling 11:1.
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Ying Jiao, Yahia Salhi & Shihua Wang. (2022) Dynamic Bivariate Mortality Modelling. Methodology and Computing in Applied Probability 24:2, pages 917-938.
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Fabio Gobbi, Nikolai Kolev & Sabrina Mulinacci. (2021) Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications. Insurance: Mathematics and Economics 101, pages 342-358.
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Hadi Safari-KatesariSamira Zaroudi. (2021) Analysing the impact of dependency on conditional survival functions using copulas. Statistics in Transition New Series 22:1, pages 217-226.
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Kathryn Wifvat, John Kumerow & Arkady Shemyakin. (2020) Copula Model Selection for Vehicle Component Failures Based on Warranty Claims. Risks 8:2, pages 56.
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Jiaqin Wei, Xiang Cheng, Zhuo Jin & Hao Wang. (2020) Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes. Insurance: Mathematics and Economics 91, pages 244-256.
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Kira Henshaw, Corina Constantinescu & Olivier Menoukeu Pamen. (2020) Stochastic Mortality Modelling for Dependent Coupled Lives. Risks 8:1, pages 17.
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Fabio Gobbi, Nikolai Kolev & Sabrina Mulinacci. (2019) JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS. ASTIN Bulletin 49:2, pages 409-432.
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François Dufresne, Enkelejd Hashorva, Gildas Ratovomirija & Youssouf Toukourou. (2018) On age difference in joint lifetime modelling with life insurance annuity applications. Annals of Actuarial Science 12:2, pages 350-371.
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Yang Lu. (2017) BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE. ASTIN Bulletin 47:3, pages 837-874.
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C. Donnelly & J. Young. (2017) Product options for enhanced retirement income. British Actuarial Journal 22:3, pages 636-656.
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P. Jevtić & T.R. Hurd. (2017) The joint mortality of couples in continuous time. Insurance: Mathematics and Economics 75, pages 90-97.
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Li Chen, Luyao Lin, Yi Lu & Gary Parker. (2017) Analysis of survivorship life insurance portfolios with stochastic rates of return. Insurance: Mathematics and Economics 75, pages 16-31.
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Arkady Shemyakin & Alexander Kniazev. 2017. Introduction to Bayesian Estimation and Copula Models of Dependence. Introduction to Bayesian Estimation and Copula Models of Dependence 159 194 .
Joseph H.T. Kim, Taehan Bae & Soyeun Kim. (2017) Application of the phase‐type mortality law to life contingencies and risk management. Applied Stochastic Models in Business and Industry 33:2, pages 184-212.
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Christian Gourieroux & Yang Lu. (2015) Love and death: A Freund model with frailty. Insurance: Mathematics and Economics 63, pages 191-203.
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Doug Andrews & Jaideep Oberoi. (2014) Home equity release for long-term care financing: an improved market structure and pricing approach. Annals of Actuarial Science 9:1, pages 85-107.
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Jaap Spreeuw & Iqbal Owadally. (2012) Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives. Annals of Actuarial Science 7:2, pages 236-257.
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Min Ji, Mary Hardy & Johnny Siu-Hang Li. (2012) A Semi-Markov Multiple State Model for Reverse Mortgage Terminations. Annals of Actuarial Science 6:2, pages 235-257.
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Manuel Ventura-Marco, Carlos Vidal-Meliá & Juan Manuel Pérez Salamero González. (2022) Life care annuities to help couples cope with the cost of long-term care. SSRN Electronic Journal.
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Petar Jevtic. (2016) The Joint Mortality of Couples in Continuous Time. SSRN Electronic Journal.
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Yang Lu. (2015) The Spousal Mortality Dependence: Evidence of Observed and Unobserved Heterogeneities. SSRN Electronic Journal.
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