Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling
Second Author's Department
Center for Applied Research on the Environment & Sustainability
Fourth Author's Department
Construction Engineering Department
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https://doi.org/10.1007/s11009-021-09875-5
Document Type
Research Article
Publication Title
Methodology and Computing in Applied Probability
Publication Date
1-1-2021
doi
10.1007/s11009-021-09875-5
Abstract
In this paper, we are interested in the dependence between lifetimes based on a joint survival model. This model is built using the bivariate Sarmanov distribution with Phase-Type marginal distributions. Capitalizing on these two classes of distributions’ mathematical properties, we drive some useful closed-form expressions of distributions and quantities of interest in the context of multiple-life insurance contracts. The dependence structure that we consider in this paper is based on a general form of kernel function for the Bivariate Sarmanov distribution. The introduction of this new kernel function allows us to improve the attainable correlation range.
Recommended Citation
APA Citation
Moutanabbir, K.
&
Abdelrahman, H.
(2021). Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling. Methodology and Computing in Applied Probability,
10.1007/s11009-021-09875-5
https://fount.aucegypt.edu/faculty_journal_articles/2705
MLA Citation
Moutanabbir, Khouzeima, et al.
"Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling." Methodology and Computing in Applied Probability, 2021,
https://fount.aucegypt.edu/faculty_journal_articles/2705