Dynamic Bivariate Mortality Modelling

Ying Jiao, Yahia Salhi () and Shihua Wang
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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

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 917-938

Abstract: 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.

Keywords: Bivariate mortality; Dependence; Conditional survival probability; Copula; Broken-heart syndrome (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09955-0

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