You are here

A Multivariate Tweedie Lifetime Model: Censoring and Truncation

Financial prosperity

Daniel Alai, Zinoviy Landsman and Michael Sherris

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.

PDF icon Download (347.45 KB)