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코퓰라를 활용한 연생보험계약의 준비금에 관한 연구A Study on Reserving Multiple Life Insurances and Annuities: A Copula Approach
- Other Titles
- A Study on Reserving Multiple Life Insurances and Annuities: A Copula Approach
- Authors
- 고방원; phonchewin jiraporn; 유병학
- Issue Date
- Sep-2014
- Publisher
- 한국리스크관리학회
- Keywords
- Copula; Gompertz Model; Lee-Carter Model; Multiple Life Insurance; Reserve; 코퓰라; Gompertz 모형; Lee-Carter 모형; 연생보험; 준비금
- Citation
- 리스크관리연구, v.25, no.2, pp.35 - 58
- Journal Title
- 리스크관리연구
- Volume
- 25
- Number
- 2
- Start Page
- 35
- End Page
- 58
- ISSN
- 1229-103X
- Abstract
- In this paper, we analyze the effect of dependence between two insureds’ future lifetimes on valuing multiple life insurances and annuities. For the purpose, we first find a best copula to fit the joint mortality data consisting of the Korean married couples, and then evaluate the multiple life contracts under the copula model. A comparison study is performed regarding dependence status, and further extended to incorporate other risk factors such as longevity and interest rate. According to our findings, the student copula describes best our joint mortality data and the effect of dependence can be quite considerable depending on the contract type.
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Related Researcher
- Ko, Bang won
- College of Natural Sciences (Department of Statistics and Actuarial Science)