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Pricing Marriage Insurance with Mortality Dependence

Author

Listed:
  • Joanna Dębicka

    (Wrocław University of Economics and Business)

  • Stanisław Heilpern

    (Wrocław University of Economics and Business)

  • Agnieszka Marciniuk

    (Wrocław University of Economics and Business)

Abstract

Accurate determination of the probability structure of the multistate model is significant from the valuation and profitability assessment of insurance contracts standpoint. This article aims to analyse the effect of spouses’ future lifetime dependence on premiums and prospective reserves for marriage insurance contracts. As a result, under the assumptions that the evolution of the insured risk is described by a nonhomogeneous Markov chain and the dependence between spouses’ future lifetime is modelled by the copula, we derive formulas for the elements of the transition matrices. Based on actual data, we conduct a comparative analysis of actuarial values for three scenarios related to future lifetimes of husband and wife. We test the robustness of premium value to the changing degree of dependency between spouses’ future lifetimes.

Suggested Citation

  • Joanna Dębicka & Stanisław Heilpern & Agnieszka Marciniuk, 2023. "Pricing Marriage Insurance with Mortality Dependence," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 15(1), pages 31-64, March.
    • Handle: RePEc:psc:journl:v:15:y:2023:i:1:p:31-64
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    References listed on IDEAS

    as
    1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.
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    6. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • J22 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Time Allocation and Labor Supply

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