Advances and Applications in Statistics
Volume 53, Issue 2, Pages 103 - 121
(August 2018) http://dx.doi.org/10.17654/AS053020103 |
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A COPULA APPROACH FOR FINDING THE TYPE OF DEPENDENCY WITH MORTALITY FORCE FUNCTION IN INSURANCE MARKET
Samira Zaroudi, Mohammad Hassan Behzadi and Mohammad Reza Faridrohani
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Abstract: In the work of Spreeuw [16], the type of dependency for some copula families has been pointed out while our focus lies on plotting mortality force function for different copulas to proving long- or limited-range of dependencies. Archimedean copula family for demonstrating the type of dependency with modeling marginal and conditional joint survival functions in life insurance market has been used. For the most Archimedean copula families, the type of dependency is long-range. |
Keywords and phrases: Archimedean copula, survival function, mortality force, couples life insurance. |
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