Next Article in Journal
Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window
Next Article in Special Issue
A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework
Previous Article in Journal
Improving Convergence of Binomial Schemes and the Edgeworth Expansion
Previous Article in Special Issue
Participating Life Insurance Products with Alternative Guarantees: Reconciling Policyholders’ and Insurers’ Interests
Article Menu

Export Article

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

Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities

1
Collegio Carlo Alberto and NETSPAR, Università di Torino, Torino 10134, Italy
2
Faculty of Actuarial Science and Insurance, Cass Business School, City University London, London EC1V 0HB, UK
3
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]   |  

Abstract

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
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).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

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

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top