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Risks 2016, 4(2), 16; doi:10.3390/risks4020016

Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities

Collegio Carlo Alberto and NETSPAR, Università di Torino, Torino 10134, Italy
Faculty of Actuarial Science and Insurance, Cass Business School, City University London, London EC1V 0HB, UK
Collegio Carlo Alberto and CeRP, Università di Torino, Torino 10134, Italy
A previous version of this paper was circulated under the title “Evolution of coupled lives’ dependency across generations and pricing impact”.
Author to whom correspondence should be addressed.
Academic Editor: Nadine Gatzert
Received: 21 October 2015 / Revised: 2 May 2016 / Accepted: 4 May 2016 / Published: 25 May 2016
(This article belongs to the Special Issue Life Insurance and Pensions)
View Full-Text   |   Download PDF [396 KB, uploaded 26 May 2016]   |  


This paper studies the dependence between coupled lives, i.e., the spouses’ dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a generation-based model is important, since spouses’ dependence decreases when passing from older generations to younger generations. The independence assumption produces quantifiable mispricing of reversionary annuities, with different effects on different generations. The research is conducted using a well-known dataset of double life contracts. View Full-Text
Keywords: stochastic mortality; generation effect; reversionary annuity; copula; goodness-of-fit stochastic mortality; generation effect; reversionary annuity; copula; goodness-of-fit

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Luciano, E.; Spreeuw, J.; Vigna, E. Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. Risks 2016, 4, 16.

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