On the Impact of Asymmetric Dependence in the Actuarial Pricing of Joint Life Insurance Policies

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dc.contributor.authorKara, Emel Kızılok
dc.date.accessioned2025-01-21T16:43:14Z
dc.date.available2025-01-21T16:43:14Z
dc.date.issued2022
dc.departmentKırıkkale Üniversitesi
dc.description.abstractMultipopulation 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.
dc.identifier.doi10.17576/jsm-2022-5111-24
dc.identifier.endpage3817
dc.identifier.issn0126-6039
dc.identifier.issue11
dc.identifier.scopus2-s2.0-85145908261
dc.identifier.scopusqualityQ2
dc.identifier.startpage3807
dc.identifier.urihttps://doi.org/10.17576/jsm-2022-5111-24
dc.identifier.urihttps://hdl.handle.net/20.500.12587/25210
dc.identifier.volume51
dc.identifier.wosWOS:000911393800024
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherUniv Kebangsaan Malaysia
dc.relation.ispartofSains Malaysiana
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241229
dc.subjectAsymmetric dependence; copula; insurance; joint life (first-death); premium
dc.titleOn the Impact of Asymmetric Dependence in the Actuarial Pricing of Joint Life Insurance Policies
dc.title.alternativeKesan Kebersandaran Asimetri dalam Harga Aktuari Polisi Insurans Hayat Tercantum
dc.typeArticle

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