Stochastic Modelling of the Dependence of Lifetimes and Application to Life Insurance

Sébastien Fulla~Jean-Paul Laurent~Aim Sandrine, United-Kingdom

We propose to model the dependence caused by common risk factors on the mortality of a group of individuals. We describe the model, give an estimation of its parameters and propose an application to life insurance.
Date: 1 June - Time: 11:00 to 12:30 - Room: 343
Theme: 1.A. Stochastic dependence