A generic model for spouse’s pensions with a view towards the calculation of liabilities

Alexander Sokol

Insurance: Mathematics and Economics, 2015, vol. 65, issue C, 198-207

Abstract: We introduce a generic model for spouse’s pensions. The generic model allows for the modeling of various types of spouse’s pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse’s pensions. In particular, we show that our generic model allows for simple modeling of longevity improvements, enabling the calculation of the Solvency II capital requirements related to longevity risk for spouse’s pensions.

Keywords: Life insurance; Liability; Cashflow; Marked point process; Longevity (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:65:y:2015:i:c:p:198-207

DOI: 10.1016/j.insmatheco.2015.09.003

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