IDEAS home Printed from https://ideas.repec.org/a/cup/anacsi/v12y2018i02p350-371_00.html
   My bibliography  Save this article

On age difference in joint lifetime modelling with life insurance annuity applications

Author

Listed:
  • Dufresne, François
  • Hashorva, Enkelejd
  • Ratovomirija, Gildas
  • Toukourou, Youssouf

Abstract

Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a group of people are independent. However, extensive research over the past decades suggests otherwise. In this paper, a copula approach is used to model the dependence between lifetimes within a married couple using data from a large Canadian insurance company. As a novelty, the age difference and the gender of the elder partner are introduced as an argument of the dependence parameter. Maximum likelihood techniques are thus implemented for the parameter estimation. Not only do the results make clear that the correlation decreases with age difference, but also the dependence between the lifetimes is higher when husband is older than wife. A goodness-of-fit procedure is applied in order to assess the validity of the model. Finally, considering several annuity products available on the life insurance market, the paper concludes with practical illustrations.

Suggested Citation

  • Dufresne, François & Hashorva, Enkelejd & Ratovomirija, Gildas & Toukourou, Youssouf, 2018. "On age difference in joint lifetime modelling with life insurance annuity applications," Annals of Actuarial Science, Cambridge University Press, vol. 12(2), pages 350-371, September.
    • Handle: RePEc:cup:anacsi:v:12:y:2018:i:02:p:350-371_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1748499518000076/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Khouzeima Moutanabbir & Hassan Abdelrahman, 2022. "Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1093-1118, June.
    2. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
    3. Manuel Ventura-Marco & Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González, 2022. "Life care annuities to help couples cope with the cost of long-term care," Documentos de Trabajo del ICAE 2022-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Gobbi, Fabio & Kolev, Nikolai & Mulinacci, Sabrina, 2021. "Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 342-358.
    5. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
    6. Deresa, N.W. & Van Keilegom, I. & Antonio, K., 2022. "Copula-based inference for bivariate survival data with left truncation and dependent censoring," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 1-21.
    7. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:anacsi:v:12:y:2018:i:02:p:350-371_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/aas .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.