Analiza ubezpieczeń dla wielu osób z wykorzystaniem funkcji copula
Analysis of multiple life insurance using copulas

Summary/Abstract: In our paper we present an approach to the analysis of multiple life insurance based on discrete-time heterogeneous Markov chains. We formulate the probabilistic model and we show how to calculate transition probabilities in the case when remaining lifetimes of the insured are not independent. To this end we use copulas. Furthermore, we present formulas for net single premium and net premium reserve. We conclude with a numeric ex-ample which shows that the introduction of dependence structure may affect the premium charged by the insurer and in particular it may lead to the underestimation of incurred risk.

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