Related papers: On bivariate lifetime modelling in life insurance …
In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence…
We propose and demonstrate a joint model of anatomical shapes, image features and clinical indicators for statistical shape modeling and medical image analysis. The key idea is to employ a copula model to separate the joint dependency…
The sexual version of the Penna model of biological ageing, simulated since 1996, is compared here with alternative forms of reproduction as well as with models not involving ageing. In particular we want to check how sexual forms of life…
We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate in time like a broken clock that might occasionally move…
We have developed a model for a life insurance policy. In this model the net gain is calculated by computer simulation for a particular type of lifetime distribution function. We observed that the net gain becomes maximum for a particular…
In time-to-event analyses in social sciences, there often exist endogenous time-varying variables, where the event status is correlated with the trajectory of the covariate itself. Ignoring this endogeneity will result in biased estimates.…
Trends in human longevity are puzzling, especially when considering the limits of human longevity. Partially, the conflicting assertions are based upon demographic evidence and the interpretation of survival and mortality curves using the…
Copula modelling has in the past decade become a standard tool in many areas of applied statistics. However, a largely neglected aspect concerns the design of related experiments. Particularly the issue of whether the estimation of copula…
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true…
We demonstrate how the uncertainty of parameter point estimates can be assessed in a maximum likelihood framework in order to prevent overfitting and erroneous detection of time-inhomogeneity. The class of models we consider are regular…
Systems biology models are useful models of complex biological systems that may require a large amount of experimental data to fit each model's parameters or to approximate a likelihood function. These models range from a few to thousands…
This article presents factor copula approaches to model temporal dependency of non-Gaussian (continuous/discrete) longitudinal data. Factor copula models are canonical vine copulas which explain the underlying dependence structure of a…
Products manufactured from the same batch or utilized in the same region often exhibit correlated lifetime observations due to the latent heterogeneity caused by the influence of shared but unobserved covariates. The unavailable…
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence, offer a great flexibility in building multivariate stochastic models. In statistics, a copula is used as a general way of…
An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at…
Copulas. We study the model risk of multivariate risk models in a comprehensive empirical study on Copula-GARCH models used for forecasting Value-at-Risk and Expected Shortfall. To determine whether model risk inherent in the forecasting of…
It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a general multi-state framework with multiple product types, such…
Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional absolutely continuous density can be uniquely represented as the…
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the optimal mean-$CVaR$ portfolio we compute…
Survival models are a popular tool for the analysis of time to event data with applications in medicine, engineering, economics, and many more. Advances like the Cox proportional hazard model have enabled researchers to better describe…