一些二元舒尔常数分布及在人寿保险中的应用

IF 2.1 2区数学 Q1 MATHEMATICS, APPLIED

Journal of Computational and Applied Mathematics Pub Date : 2024-09-28 DOI:10.1016/j.cam.2024.116296

Altan Tuncel, Tugba Aktas Aslan

{"title":"一些二元舒尔常数分布及在人寿保险中的应用","authors":"Altan Tuncel, Tugba Aktas Aslan","doi":"10.1016/j.cam.2024.116296","DOIUrl":null,"url":null,"abstract":"<div><div>Schur-constant models play a particular role when modelling time in fields such as actuarial science, insurance, reliability and survival models. These models describe random lifetimes with a certain dependence. In this study, a relation between proportional hazard rate distributions and Schur-constant models is established. Bivariate Schur-constant models, whose marginals are proportional hazard rate distributed, are introduced. Then, the dependency analysis in life insurances is performed through Schur-constant and copula models. It is revealed that there are differences in pricing when individuals' future lifetimes are dependent.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"457 ","pages":"Article 116296"},"PeriodicalIF":2.1000,"publicationDate":"2024-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Some bivariate Schur-constant distributions and application to life insurance\",\"authors\":\"Altan Tuncel, Tugba Aktas Aslan\",\"doi\":\"10.1016/j.cam.2024.116296\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Schur-constant models play a particular role when modelling time in fields such as actuarial science, insurance, reliability and survival models. These models describe random lifetimes with a certain dependence. In this study, a relation between proportional hazard rate distributions and Schur-constant models is established. Bivariate Schur-constant models, whose marginals are proportional hazard rate distributed, are introduced. Then, the dependency analysis in life insurances is performed through Schur-constant and copula models. It is revealed that there are differences in pricing when individuals' future lifetimes are dependent.</div></div>\",\"PeriodicalId\":50226,\"journal\":{\"name\":\"Journal of Computational and Applied Mathematics\",\"volume\":\"457 \",\"pages\":\"Article 116296\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2024-09-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Computational and Applied Mathematics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0377042724005442\",\"RegionNum\":2,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Computational and Applied Mathematics","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0377042724005442","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}

引用次数: 0

摘要

舒尔常数模型在精算学、保险、可靠性和生存模型等领域的时间建模中发挥着特殊作用。这些模型描述了具有一定依赖性的随机寿命。本研究建立了比例危险率分布与舒尔常数模型之间的关系。介绍了边际为比例危险率分布的双变量舒尔常数模型。然后，通过舒尔常数模型和 copula 模型对人寿保险进行依存性分析。结果表明，当个人的未来寿命具有依赖性时，定价会存在差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Some bivariate Schur-constant distributions and application to life insurance

Schur-constant models play a particular role when modelling time in fields such as actuarial science, insurance, reliability and survival models. These models describe random lifetimes with a certain dependence. In this study, a relation between proportional hazard rate distributions and Schur-constant models is established. Bivariate Schur-constant models, whose marginals are proportional hazard rate distributed, are introduced. Then, the dependency analysis in life insurances is performed through Schur-constant and copula models. It is revealed that there are differences in pricing when individuals' future lifetimes are dependent.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Computational and Applied Mathematics 数学-应用数学

CiteScore

5.40

自引率

4.20%

发文量

437

审稿时长

3.0 months

期刊介绍： The Journal of Computational and Applied Mathematics publishes original papers of high scientific value in all areas of computational and applied mathematics. The main interest of the Journal is in papers that describe and analyze new computational techniques for solving scientific or engineering problems. Also the improved analysis, including the effectiveness and applicability, of existing methods and algorithms is of importance. The computational efficiency (e.g. the convergence, stability, accuracy, ...) should be proved and illustrated by nontrivial numerical examples. Papers describing only variants of existing methods, without adding significant new computational properties are not of interest. The audience consists of: applied mathematicians, numerical analysts, computational scientists and engineers.