Joint and survivor annuity valuation with a bivariate reinforced urn process

Luis A. Souto Arias and Pasquale Cirillo

Insurance: Mathematics and Economics, 2021, vol. 99, issue C, 174-189

Abstract: We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the existing literature, mainly relying on copulas. Based on urn processes and a one-factor construction, the proposed model is able to improve its performances over time, in line with the machine learning paradigm, and it also allows for the use of experts' judgements, to complement the empirical data.

Keywords: Annuity; Bivariate survival function; Reinforced urn process; Bayesian nonparametrics; Right-censoring (search for similar items in EconPapers)
JEL-codes: C11 E17 G22 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:99:y:2021:i:c:p:174-189

DOI: 10.1016/j.insmatheco.2021.04.004

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