Pricing Marriage Insurance with Mortality Dependence

Joanna Dębicka (), Stanisław Heilpern () and Agnieszka Marciniuk ()
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Joanna Dębicka: Wrocław University of Economics and Business
Stanisław Heilpern: Wrocław University of Economics and Business
Agnieszka Marciniuk: Wrocław University of Economics and Business

Central European Journal of Economic Modelling and Econometrics, 2023, vol. 15, issue 1, 31-64

Abstract: Accurate determination of the probability structure of the multistate model is significant from the valuation and profitability assessment of insurance contracts standpoint. This article aims to analyse the effect of spouses’ future lifetime dependence on premiums and prospective reserves for marriage insurance contracts. As a result, under the assumptions that the evolution of the insured risk is described by a nonhomogeneous Markov chain and the dependence between spouses’ future lifetime is modelled by the copula, we derive formulas for the elements of the transition matrices. Based on actual data, we conduct a comparative analysis of actuarial values for three scenarios related to future lifetimes of husband and wife. We test the robustness of premium value to the changing degree of dependency between spouses’ future lifetimes.

Keywords: dependent lifetimes; modified multistate model; copula; joint-life status; last surviving status (search for similar items in EconPapers)
JEL-codes: G22 J22 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:15:y:2023:i:1:p:31-64

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