Love and Death: A Freund Model with Frailty

Christian Gourieroux and Yang Lu

No 2013-09, Working Papers from Center for Research in Economics and Statistics

Abstract: We introduce new models for analyzing the mortality dependence between individuals in a couple. The mortality risk dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies symmetric effects on the remaining lifetime of the surviving spouse. The new model allows for both asymmetric reactions by means of a Freund model, and risk dependence by means of an unobservable common risk factor (or frailty). These models allow for distinguishing in the lifetime dependence the component due to common lifetime (frailty) from the broken-heart syndrome (Freund model). The model is applied to insurance products such as joint life policy, last survivor insurance, or contracts with reversionary annuities

Keywords: Life Insurance; Coupled Lives; Frailty; Freund Model; Broken-Heart; Copula; Last Survivor Insurance; Reversionary Annuities. (search for similar items in EconPapers)
Pages: 35
Date: 2013-04
New Economics Papers: this item is included in nep-hea and nep-ias
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Love and death: A Freund model with frailty (2015)
Working Paper: Love and death: A Freund model with frailty (2015)
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