Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167886
Authors: 
Luciano, Elisa
Spreeuw, Jaap
Vigna, Elena
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 2 [Pages:] 1-18
Abstract: 
This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a generation-based model is important, since spouses' dependence decreases when passing from older generations to younger generations. The independence assumption produces quantifiable mispricing of reversionary annuities, with different effects on different generations. The research is conducted using a well-known dataset of double life contracts.
Subjects: 
stochastic mortality
generation effect
reversionary annuity
copula
goodness-of-fit
JEL: 
C12
C18
G22
J12
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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