Work

Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities

Year: 2016

Type: article

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.

Source: Risks

DOI: 10.3390/risks4020016

Authors: Elisa Luciano, Jaap Spreeuw, Elena Vigna

Institutions: Collegio Carlo Alberto, University of Turin, City, University of London

Language: English

Topic: Insurance, Mortality, Demography, Risk Management

Subfield: Demography

Field: Social Sciences

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,172

OpenAlex ID: W2398407417

FWCI: 5.619

Cites: 27

Cited by: 24

Related to: 10