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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/4/2/16 |
| _version_ | 1819090857325756416 |
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| author | Elisa Luciano Jaap Spreeuw Elena Vigna |
| author_facet | Elisa Luciano Jaap Spreeuw Elena Vigna |
| author_sort | Elisa Luciano |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-21T22:30:29Z |
| format | Article |
| id | doaj.art-a185fbb075324fb4b6a36dcf7a4ad187 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-21T22:30:29Z |
| publishDate | 2016-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-a185fbb075324fb4b6a36dcf7a4ad1872022-12-21T18:48:06ZengMDPI AGRisks2227-90912016-05-01421610.3390/risks4020016risks4020016Spouses’ Dependence across Generations and Pricing Impact on Reversionary AnnuitiesElisa Luciano0Jaap Spreeuw1Elena Vigna2Collegio Carlo Alberto and NETSPAR, Università di Torino, Torino 10134, ItalyFaculty of Actuarial Science and Insurance, Cass Business School, City University London, London EC1V 0HB, UKCollegio Carlo Alberto and CeRP, Università di Torino, Torino 10134, ItalyThis 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.http://www.mdpi.com/2227-9091/4/2/16stochastic mortalitygeneration effectreversionary annuitycopulagoodness-of-fit |
| spellingShingle | Elisa Luciano Jaap Spreeuw Elena Vigna Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities Risks stochastic mortality generation effect reversionary annuity copula goodness-of-fit |
| title | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities |
| title_full | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities |
| title_fullStr | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities |
| title_full_unstemmed | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities |
| title_short | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities |
| title_sort | spouses dependence across generations and pricing impact on reversionary annuities |
| topic | stochastic mortality generation effect reversionary annuity copula goodness-of-fit |
| url | http://www.mdpi.com/2227-9091/4/2/16 |
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