Joint and survivor annuity valuation with a bivariate reinforced urn process
Sign Up to like & getrecommendations! Published in 2021 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2021.04.004
Abstract: Abstract We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the… read more here.
Keywords: survivor annuity; annuity valuation; reinforced urn; bivariate reinforced ... See more keywords
Estimation of reinforced urn processes under left-truncation and right-censoring
Sign Up to like & getrecommendations! Published in 2023 at "Royal Society Open Science"
DOI: 10.1098/rsos.221223
Abstract: We propose a non-parametric estimator for bivariate left-truncated and right-censored observations that combines the expectation–maximization algorithm and the reinforced urn process. The resulting expectation-reinforcement algorithm allows for the inclusion of experts’ knowledge in the form… read more here.
Keywords: truncation; left truncation; estimation reinforced; reinforced urn ... See more keywords