Related papers: Modelling Joint Lifetimes of Couples by Using Biva…
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…
Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation in terms of ageing towards its inevitable absorption. In this paper, we consider an extension to the bivariate…
Family history is usually seen as a significant factor insurance companies look at when applying for a life insurance policy. Where it is used, family history of cardiovascular diseases, death by cancer, or family history of high blood…
We consider dynamic versions of the mutual information of lifetime distributions, with focus on past lifetimes, residual lifetimes and mixed lifetimes evaluated at different instants. This allows to study multicomponent systems, by…
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…
In this paper, the recurrent events that can occur more than one over the follow-up time have been modeled by phase-type distributions. We use the finite-state continuous-time Markov process with multi states for patients with recurrent…
Joint multivariate longitudinal and time-to-event data are gaining increasing attention in the biomedical sciences where subjects are followed over time to monitor the progress of a disease or medical condition. In the insurance context,…
Increasing evidence suggests that variability in longitudinal biomarkers, in addition to their mean trajectory, carries prognostic information for time-to-event outcomes. However, standard joint models typically capture only the expected…
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.…
We present, solve and numerically simulate a simple model that describes the consequences of increased longevity on fertility rates, population growth and the distribution of wealth in developed societies. We look at the consequences of the…
A time-varying bivariate copula joint model, which models the repeatedly measured longitudinal outcome at each time point and the survival data jointly by both the random effects and time-varying bivariate copulas, is proposed in this…
Each individual in society experiences an evolution of their income during their lifetime. Macroscopically, this dynamics creates a statistical relationship between age and income for each society. In this study, we investigate income…
Joint modelling of longitudinal and survival data is increasingly used in clinical trials on cancer. In prostate cancer for example, these models permit to account for the link between longitudinal measures of prostate-specific antigen…
We derive a general multiple state model for critical illness insurances. In contrast to the classical model, we take into account that the probability of death for a dread disease sufferer may depend on the duration of the disease, and the…
The gradual accumulation of damage and dysregulation during the aging of living organisms can be quantified. Even so, the aging process is complex and has multiple interacting physiological scales -- from the molecular to cellular to whole…
This work considers stochastic comparisons of lifetimes of series and parallel systems with dependent and heterogeneous components having lifetimes following the proportional odds (PO) model. The joint distribution of component lifetimes is…
Although the concepts of age, survival and transit time have been widely used in many fields, including population dynamics, chemical engineering, and hydrology, a comprehensive mathematical framework is still missing. Here we discuss…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…