The dependence between the insureds in multiple-life insurance contracts is
studied. With the future lifetimes of the insureds modeled as correlated random
variables, both premium and reserve are different from those under independence. In
this paper, Gaussian copula is used to impose the dependence between the insureds
with Gompertz marginals. At various dependence levels we analyze the change
of the premiums and reserves of standard multiple-life insurance contracts. We
find that, for some contracts, the insurance quantities based on the assumption of
dependent lifetimes are quite different from those under independence as its correlation
increase, which elucidate the importance of dependence model in multiple-life
contingencies in both theory and practice.
KEYWORDS: Gaussian copula, reserves analysis, multiple life insurance,
joint life survival function.
논문 저자: 이삭 (現 IOWA 박사과정)
지도 교수: 이항석