@inproceedings{25d308fc0864458986ccb7ed5ba79a43,
title = "Computational formula for the impact of stochastic dependence on the insurance premium",
abstract = "Standard actuarial theory of multiple life insurance traditionally postulates independence for the remaining lifetimes mainly due to computational convenience rather than realism. In this paper, we propose a general common shock model for modelling dependent coupled lives and apply it to a life insurance model. Under the model, we derive the computational formula for the impact of stochastic dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks.",
author = "Cha, {Ji Hwan} and Hyunju Lee and Maxim Finkelstein",
note = "Publisher Copyright: {\textcopyright} 2019 Author(s).; International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019 ; Conference date: 01-05-2019 Through 05-05-2019",
year = "2019",
month = dec,
day = "10",
doi = "10.1063/1.5138087",
language = "English",
series = "AIP Conference Proceedings",
publisher = "American Institute of Physics Inc.",
editor = "Simos, {Theodore E.} and Simos, {Theodore E.} and Simos, {Theodore E.} and Zacharoula Kalogiratou and Theodore Monovasilis",
booktitle = "Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019",
}