Faculty of Actuarial Science and Insurance Seminar - Daniel Alai

Lifetime Dependence Modelling using a Generalization of Multivariate Pareto Distributions
 
Abstract:  An important driver of longevity risk is uncertainty in old-age mortality, especially surrounding potential dependence structures.  We investigate a multivariate Pareto distribution that allows for the exploration of a variety of applications, from portfolios of standard annuities to joint-life annuity products for couples.  In past work, it has been shown that even a little dependence between lives can lead to much higher uncertainty.  Therefore, the ability to assess and incorporate the appropriate dependence structure, whilst allowing for extreme observations, significantly improves the pricing and risk management of life-benefit products.  Finally, we explore a generalization of the multivariate Pareto distribution via established links with Archimedean survival copulas.
 
Based on joint work with Profs Zinoviy Landsman and Michael Sherris.

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