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Love and Death : A Freund Model with Frailty

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Author Info

  • Christian Gouriéroux

    ()
    (Crest, University of Toronto)

  • Yang Lu

    ()
    (SCOR and Crest)

Abstract

We introduce new models for analyzing the mortality dependence between individuals in a couple. The mortality risk dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies symmetric effects on the remaining lifetime of the surviving spouse. The new model allows for both asymmetric reactions by means of a Freund model, and risk dependence by means of an unobservable common risk factor (or frailty). These models allow for distinguishing in the lifetime dependence the component due to common lifetime (frailty) from the broken-heart syndrome (Freund model). The model is applied to insurance products such as joint life policy, last survivor insurance, or contracts with reversionary annuities

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Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2013-09.

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Length: 35
Date of creation: Apr 2013
Date of revision:
Handle: RePEc:crs:wpaper:2013-09

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Related research

Keywords: Life Insurance; Coupled Lives; Frailty; Freund Model; Broken-Heart; Copula; Last Survivor Insurance; Reversionary Annuities.;

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Cited by:
  1. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Centre de Recherche en Economie et Statistique.

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