Dependence Modelling of Lifetimes in Egyptian Families

Henshaw, Kira, Hana, Waleed, Constantinescu, Corina ORCID: 0000-0002-5219-3022 and Khalil, Dalia (2023) Dependence Modelling of Lifetimes in Egyptian Families Risks, 11 (1). p. 18. ISSN 2227-9091, 2227-9091

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Abstract

In this study, we analyse a large sample of Egyptian social pension data which covers, by law, the policyholder’s spouse, children, parents and siblings. This data set uniquely enables the study and comparison of pairwise dependence between multiple familial relationships beyond the well-known husband and wife case. Applying Bayesian Markov Chain Monte Carlo (MCMC) estimation techniques with the two-step inference functions for margins (IFM) method, we model dependence between lifetimes in spousal, parent–child and child–parent relationships, using copulas to capture the strength of association. Dependence is observed to be strongest in child–parent relationships and, in comparison to the high-income countries of data sets previously studied, of lesser significance in the husband and wife case, often referred to as broken-heart syndrome. Given the traditional use of UK mortality tables in the modelling of mortality in Egypt, the findings of this paper will help to inform appropriate mortality assumptions specific to the unique structure of the Egyptian scheme.

Item Type:	Article
Uncontrolled Keywords:	joint life mortality, dependence modelling, copulas, Markov chain Monte Carlo, Egyptian social security
Divisions:	Faculty of Science & Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	12 Jan 2023 11:37
Last Modified:	16 Jun 2026 11:09
DOI:	10.3390/risks11010018
Open Access URL:	https://www.mdpi.com/2227-9091/11/1/18
Related Websites:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3167009
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