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Broken-Heart, Common Life, Heterogeneity: Analyzing The Spousal Mortality Dependence

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  • Lu, Yang

Abstract

Using data on joint annuities, we conduct an analysis of the inter-couple lifetime dependence. We estimate a mixed proportional hazards model with treatment effects, which disentangles the broken-heart syndrome from the spurious risk dependence induced by unobserved heterogeneities. We use a flexible semi-parametric distribution for the unobserved heterogeneities to allow for either positive or negative spurious risk dependence. We find that the effect of losing one's spouse is asymmetric for the two sexes. Moreover, although the broken-heart syndrome explains a large portion of the dependency, there is evidence of positive spurious risk dependence. These findings have important implications for the pricing of joint insurance products. Failure to take into account either of these two effects leads to pricing error that can be either positive or negative, depending on the characteristics of the couple.

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  • Lu, Yang, 2017. "Broken-Heart, Common Life, Heterogeneity: Analyzing The Spousal Mortality Dependence," ASTIN Bulletin, Cambridge University Press, vol. 47(3), pages 837-874, September.
    • Handle: RePEc:cup:astinb:v:47:y:2017:i:03:p:837-874_00
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    Cited by:

    1. Denuit, Michel & Lu, Yang, 2020. "Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving," LIDAM Discussion Papers ISBA 2020016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Michel Denuit & Yang Lu, 2021. "Wishart‐gamma random effects models with applications to nonlife insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 443-481, June.
    3. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
    4. Gerard J. van den Berg & Bettina Drepper, 2022. "A unique bond: Twin bereavement and lifespan associations of identical and fraternal twins," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 677-698, April.
    5. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
    6. van den Berg, Gerard J. & Drepper, Bettina, 2018. "A Unique Bond: Twin Bereavement and Lifespan Associations of Identical and Fraternal Twins," IZA Discussion Papers 11448, Institute of Labor Economics (IZA).
    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.

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