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Abstract We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are… Click to show full abstract
Abstract We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the existing literature, mainly relying on copulas. Based on urn processes and a one-factor construction, the proposed model is able to improve its performances over time, in line with the machine learning paradigm, and it also allows for the use of experts' judgements, to complement the empirical data.
Keywords:
survivor annuity;
annuity valuation;
reinforced urn;
bivariate reinforced;
joint survivor;
valuation bivariate
Journal Title: Insurance: Mathematics and Economics
Year Published: 2021
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Journal Title: Insurance: Mathematics and Economics
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!