Abstract
Grouping insureds in clusters such as joint-life annuities imposes statistical dependence. In this paper, we propose the shared compound frailty approach in collective valuation of joint-life annuity products where most applications have been in bio-statistics. The positive stable compound process used entails the frailty mixing distribution with the weighted exponential, generalized exponential and weighted Weibull as the base force of mortality distributions calibrated on a large Kenyan insurer joint-life last-survivor dataset. The findings shows that the positive stable generalized exponential model addresses time-varying heterogeneity effects positively and negatively associated with dependence
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
