Understand how joint-life mortality can be modelled using (i) a time-to-status-failure random variable, and (ii) a multiple state model.
Free SOA Exam ALTAM (Advanced Long-Term Actuarial Mathematics) lesson in Joint Life Insurance and Annuities. 42 min read, ~6,360 words.
Joint-life status fails at the first death:. Last-survivor status fails at the second death:. Independence shortcut:. Then. Identity:, so and the same for values. Multiple-state model: 4 states (both alive, only, only, both dead). Transition intensities drive Kolmogorov ODEs. Common shock and broken-heart require the multiple-state model. Independence assumption cannot...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Example 4
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- 3a
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