A Multivariate Tweedie Lifetime Model: Censoring and Truncation
27 Pages Posted: 17 Jan 2015
Date Written: January 15, 2015
We generalize model calibration for a multivariate Tweedie distribution to allow for censored observations; estimation is based on the method of moments. The multivariate Tweedie distribution we consider incorporates dependence in a pool of lives via a common stochastic component. Pools may be interpreted in various ways, from nation-wide cohorts to employer-based pension annuity portfolios. In general, the common stochastic component is representative of systematic longevity risk, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving.
Keywords: systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation
JEL Classification: G22, C13, C46
Suggested Citation: Suggested Citation