Réalisé par Zied Chaeib & Djibril GUEYE
Quantlabs (Quanteam Group)

Et par Domenico DeGiovanni
Università degli Studi della Calabria; Aarhus University – School of Business and Social Sciences

➡️ Contenu en Anglais

We combine two recent credit risk models with the Marshall-Olkin setup to capture the dependence structure of bivariate survival functions. The main advantage of this approach is to handle fatal shock events in the dependence structure since these two credit risk models allow to match the time of death of an individual with a catastrophe time event. We also provide a methodology for adding other sources of dependency in our approach. In such setup, we derive the no-arbitrage prices of some common life insurance product for coupled lives. We demonstrate the performance of our method by investigating Sibuya’s dependence function. Calibration is done on the data of joint life contracts from a Canadian company.

Chaeib, Zied and DeGiovanni, Domenico and DeGiovanni, Domenico and Gueye, Djibril, Two Hybrid Models for Dependent Death Times of Couple: A Common Shock Approach (April 26, 2022).

Available at SSRN: https://ssrn.com/abstract=4104327 or http://dx.doi.org/10.2139/ssrn.4104327