A Multivariate Tweedie Lifetime Model: Censoring and Truncation

27 Pages Posted: 17 Jan 2015

See all articles by Daniel H. Alai

Daniel H. Alai

University of Kent

Zinoviy Landsman

University of Haifa, Department of Statistics

Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies; UNSW Australia Business School

Date Written: January 15, 2015

Abstract

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

Alai, Daniel H. and Landsman, Zinoviy and Sherris, Michael, A Multivariate Tweedie Lifetime Model: Censoring and Truncation (January 15, 2015). UNSW Business School Research Paper No. 2015ACTL01. Available at SSRN: https://ssrn.com/abstract=2550507 or http://dx.doi.org/10.2139/ssrn.2550507

Daniel H. Alai (Contact Author)

University of Kent ( email )

Cornwallis Building
Canterbury, CT2 7NF
United Kingdom

Zinoviy Landsman

University of Haifa, Department of Statistics ( email )

Haifa, 31905
Israel
+972-4-8249003 (Phone)

HOME PAGE: http://stat.haifa.ac.il/~landsman

Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies ( email )

UNSW Business School
Risk and Actuarial Studies
Sydney, NSW 2052
Australia
+61 2 9385 2333 (Phone)
+61 2 9385 1883 (Fax)

HOME PAGE: http://www.asb.unsw.edu.au/schools/Pages/MichaelSherris.aspx

UNSW Australia Business School ( email )

Sydney, NSW 2052
Australia

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