On bivariate lifetime modelling in life insurance applications

Fran\c{c}ois Dufresne, Enkelejd Hashorva, Gildas Ratovomirija and Youssouf Toukourou

Papers from arXiv.org

Abstract: Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a group of people are independent. However, extensive research over the past decades suggests otherwise. In this paper, a copula approach is used to model the dependence between lifetimes within a married couple \eH{using data from a large Canadian insurance company}. As a novelty, the age difference and the \eH{gender} of the elder partner are introduced as an argument of the dependence parameter. \green{Maximum likelihood techniques are} thus implemented for the parameter estimation. Not only do the results make clear that the correlation decreases with age difference, but also the dependence between the lifetimes is higher when husband is older than wife. A goodness-of-fit procedure is applied in order to assess the validity of the model. Finally, considering several products available on the life insurance market, the paper concludes with practical illustrations.

Date: 2016-01
New Economics Papers: this item is included in nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1601.04351 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1601.04351

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().