Annuity Valuation with Dependent Mortality

Journal of Risk and Insurance

Volumn 63, Issue 2, 1996, Pages 229-261

  Frees, Edward W ^a   Carriere, Jacques ^b   Valdez, Emiliano ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000789164     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.2307/253744     Document Type: Article

References (22)

1. American Council of Life Insurance, 1994, 1994 Life Insurance Fact Book (Washington, D.C.: ACLI).
2. Bowers, N. L., H. U. Gerber, J. C. Hickman, D. A. Jones, and C. J. Nesbitt, 1986, Actuarial Mathematics (Schaumburg, Ill.: Society of Actuaries).
3. Bragg, J., 1994, The Last-Survivor Phenomenon, The Actuary, 28(1): 5.
4. Carriere, J., 1994, An Investigation of the Gompertz Law of Mortality, Actuarial Research Clearing House, 2.
5. Cox, D. R. and D. Oakes, 1990, Analysis of Survival Data (New York: Chapman and Hall).
6. Elandt-Johnson, R. C. and N. L. Johnson, 1980, Survival Models and Data Analysis (New York: John Wiley).
7. Frank, M. J., 1979, On the Simultaneous Associativity of F(x,y) and x+y-F(x,y), Aequationes Math, 19: 194-226.
8. Genest, C., 1987, Frank's Family of Bivariate Distributions, Biometrika, 74: 549-555.
9. Genest, C. and J. McKay, 1986, The Joy of Copulas: Bivariate Distributions with Uniform Marginals, American Statistician, 40: 280-283.
10. Hougaard, P., B. Harvald, and N. V. Holm, 1992, Measuring the Similarities Between the Lifetimes of Adult Danish Twins Born Between 1881-1930, Journal of the American Statistical Association, 87: 17-24.
11. Jagger, C. and C. J. Sutton, 1991, Death after Marital Bereavement - Is the Risk Increased? Statistics in Medicine, 10: 395-404.
12. Maguluri, G., 1993, Semiparametric Estimation of Association in a Bivariate Survival Function, Annals of Statistics, 21: 1648-1662.
13. Marshall, A. W. and I. Olkin, 1967, A Multivariate Exponential Distribution, Journal of the American Statistical Association, 62: 30-44.
14. Marshall, A. W. and I. Olkin, 1988, Families of Multivariate Distributions, Journal of the American Statistical Association, 83: 834-841.
15. Nelsen, R. B., 1986, Properties of a One-Parameter Family of Distributions with Specified Marginals, Communications in Statistics - Theory and Methods, A15: 3277-3285.
16. Oakes, D., 1989, Bivariate Survival Models Induced by Frailties, Journal of the American Statistical Association, 84: 487-493.
17. Panjer, H., 1994, Second-to-Die with Possibility of Simultaneous Death, Product Development News, 36 (Schaumburg, Ill.: Society of Actuaries).
18. Parkes, C. M., B. Benjamin, and R. G. Fitzgerald, 1969, Broken Heart: A Statistical Study of Increased Mortality among Widowers, British Medical Journal, i: 740-743.
19. Pruitt, R. C., 1993, Identifiability of Bivariate Survival Curves from Censored Data, Journal of the American Statistical Association, 88: 573-579.
20. Serfling, R., 1980, Approximation Theorems in Mathematical Statistics (New York: John Wiley).
21. Sklar, A., 1959, Fonctions de répartitions à n dimensions et leurs marges, Inst. Statist. Univ. Paris Publ., 8: 229-231.
22. Ward, A., 1976, Mortality of Bereavement, British Medical Journal, i: 700-702.