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On the probability distribution of the present value of benefits in multiple life insurance

Author

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  • Kamil Gala

    (Ubezpieczeniowy Fundusz Gwarancyjny)

Abstract

In the standard approach to actuarial analysis of multiple life insurance, the stochastic independence of future lifetimes of the insured is assumed. However, this assumption appears to be unrealistic. The aim of this paper is to analyse the properties of the probability distribution of the present value of future benefits in multiple life insurance in the case of dependent lifetimes. To this end, a model in which joint distribution of future lifetimes is modelled with a copula is used. The paper presents the results concerning the impact of the dependence structure on the expected value and quantiles of the present value of future benefits. These results are a generalisation of the author’s previous research and of some results found in the actuarial literature and may be useful when the insurer does not possess full knowledge on the dependence structure between future lifetimes of the insured.

Suggested Citation

  • Kamil Gala, 2015. "On the probability distribution of the present value of benefits in multiple life insurance," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 13-38.
    • Handle: RePEc:sgh:annals:i:37:y:2015:p:13-38
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    References listed on IDEAS

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    1. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    2. Marco Scarsini, 1984. "Strong measures of concordance and convergence in probability," Post-Print hal-00542387, HAL.
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