Joint mortality models based on subordinated linear hypercubes

Domenico De Giovanni, Marco Pirra and Fabio Viviano

ASTIN Bulletin, 2025, vol. 55, issue 2, 332-351

Abstract: We use recent advances in polynomial diffusion processes to develop a continuous-time joint mortality model for the actuarial valuation and risk analysis of life insurance liabilities. The model considers the stochastic nature of future mortality improvements and introduces a common subordinator for the marginal survival processes, resulting in a nontrivial dependence structure between the survival of pairs of individuals. Polynomial diffusion processes can be used to derive closed-form formulae for standard actuarial quantities. The model fits well with a classic dataset provided by a Canadian insurer and can be used to evaluate products issued to multiple lives, as shown through numerical applications.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:55:y:2025:i:2:p:332-351_6

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