Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities

Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities

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-b...

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Bibliographic Details
Main Authors: Elisa Luciano, Jaap Spreeuw, Elena Vigna
Format: Article
Language:English
Published: MDPI AG 2016-05-01
Series:Risks
Subjects:
stochastic mortality
generation effect
reversionary annuity
copula
goodness-of-fit
Online Access:http://www.mdpi.com/2227-9091/4/2/16

Internet

http://www.mdpi.com/2227-9091/4/2/16

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