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Dynamic Bivariate Mortality Modelling

Author

Listed:
  • Ying Jiao

    (Université de Lyon, Université Lyon 1, ISFA, Laboratoire SAF)

  • Yahia Salhi

    (Université de Lyon, Université Lyon 1, ISFA, Laboratoire SAF)

  • Shihua Wang

    (School of Mathematical Science, University of Science and Technology of China)

Abstract

The dependence structure of the life statuses plays an important role in the valuation of life insurance products involving multiple lives. Although the mortality of individuals is well studied in the literature, their dependence remains a challenging field. In this paper, the main objective is to introduce a new approach for analyzing the mortality dependence between two individuals in a couple. It is intended to describe in a dynamic framework the joint mortality of married couples in terms of marginal mortality rates. The proposed framework is general and aims to capture, by adjusting some parametric form, the desired effect such as the “broken-heart syndrome”. To this end, we use a well-suited multiplicative decomposition, which will serve as a building block for the framework to relate the dependence structure and the marginals, and we make the link with existing practice of affine mortality models. Finally, given that the framework is general, we propose some illustrative examples and show how the underlying model captures the main stylized facts of bivariate mortality dynamics.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09955-0
    DOI: 10.1007/s11009-022-09955-0
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    References listed on IDEAS

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