Systematic improvements in mortality increases dependence in the survival distributions of insured lives, which is not … portfolios. This paper applies a multivariate gamma distribution to incorporate dependence. Lifetimes are modelled using a … truncated multivariate gamma distribution that induces dependence through a shared gamma distributed component. Model parameter …

Systematic improvements in mortality results in dependence in the survival distributions of insured lives. This is not … portfolios. This paper applies a multivariate gamma distribution to incorporate dependence. Lifetimes are modelled using a … truncated multivariate gamma distribution that induces dependence through a shared gamma distributed component. Model parameter …