Copulas Between Wealth and Lifetime  

作　　者：叶冬艳 

机构地区：[1]School of Economics and Management, Tsinghua University,Beijing 100084, China

出　　处：《Tsinghua Science and Technology》2009年第3期390-396,共7页清华大学学报（自然科学版（英文版）

基　　金：Supported by the Program for New Century Excellent Talents in University (NCET);the National Key Basic Research and Devel-opment (973) Program of China (No. 2007CB814902);the National Natural Science Foundation of China (No. 70671067)

摘　　要：The life insurance industry is very interested in how a person＇s lifetime is related to his wealth with financial advisors interested in how even a person＇s portfolio choice affects his lifetime. This paper presents a statistical analysis combined with intuitive relationships between lifetime and wealth. Key properties of this relationship are given and then various copulas are analyzed to see whether they have these properties. Other advantages and disadvantages of these copulas for describing the dependence are stated. The results show that some copulas are not appropriate for relating lifetime and wealth, including the Gaussian family.The life insurance industry is very interested in how a person＇s lifetime is related to his wealth with financial advisors interested in how even a person＇s portfolio choice affects his lifetime. This paper presents a statistical analysis combined with intuitive relationships between lifetime and wealth. Key properties of this relationship are given and then various copulas are analyzed to see whether they have these properties. Other advantages and disadvantages of these copulas for describing the dependence are stated. The results show that some copulas are not appropriate for relating lifetime and wealth, including the Gaussian family.

关 键 词：DEPENDENCE COPULA mortality rate LIFETIME WEALTH 

分 类 号：F842.6[经济管理—保险]