Love and Death : A Freund Model with Frailty
We introduce new models for analyzing the mortality dependence between individuals in a couple. The mortality risk dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies symmetric effects on the remaining lifetime of the surviving spouse. The new model allows for both asymmetric reactions by means of a Freund model, and risk dependence by means of an unobservable common risk factor (or frailty). These models allow for distinguishing in the lifetime dependence the component due to common lifetime (frailty) from the broken-heart syndrome (Freund model). The model is applied to insurance products such as joint life policy, last survivor insurance, or contracts with reversionary annuities
|Date of creation:||Apr 2013|
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- Darrell Duffie & Andreas Eckner & Guillaume Horel & Leandro Saita, 2009.
"Frailty Correlated Default,"
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