Modelling comonotonic group-life under dependent decrement causes
Dabuxilatu Wang
TL;DR
This paper extends the comonotonic dependency model from single life to group-life scenarios with multiple dependent decrement causes, providing a new framework for analyzing such dependencies.
Contribution
It introduces a novel extension of comonotonicity to group-life models with multiple dependent causes, filling a gap in existing dependency modeling.
Findings
Develops a new comonotonic group-life model with dependent causes
Provides analytical tools for dependent decrement cause analysis
Enhances understanding of dependency structures in group-life models
Abstract
Comonotonicity had been a extreme case of dependency between random variables. This article consider an extension of single life model under multiple dependent decrement causes to the case of comonotonic group-life.
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Stochastic processes and financial applications · Fuzzy Systems and Optimization