Title

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.

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