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Withdrawal Benefits under a Dependent Double Decrement Model

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  • Carriere, Jacques F.

Abstract

This article presents an explicit formula for the value of a withdrawal benefit when the times of death and withdrawal are dependent. The derivation is based on an actuarial equivalence principle. As a special case, we show that in the fully continuous case, the withdrawal benefit is the reserve when the decrements are independent. We also present a definition of antiselection and prove that the withdrawal benefit will be smaller under antiselection.

Suggested Citation

  • Carriere, Jacques F., 1998. "Withdrawal Benefits under a Dependent Double Decrement Model," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 49-57, May.
    • Handle: RePEc:cup:astinb:v:28:y:1998:i:01:p:49-57_01
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    Cited by:

    1. Valdez, Emiliano A. & Vadiveloo, Jeyaraj & Dias, Ushani, 2014. "Life insurance policy termination and survivorship," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 138-149.
    2. Valdez, Emiliano A., 2001. "Bivariate analysis of survivorship and persistency," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 357-373, December.

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