Department of Finance
Journal of Actuarial Practice (1993–2006)
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Date of this Version
1999
Document Type
Article
Citation
Journal of Actuarial Practice 7 (1999), pp. 147-180
Abstract
Actuaries traditionally have calculated multi-life (joint life) premiums by assuming the independence of the future lifetimes of insured persons. Recent studies, however, demonstrate dependence of the future lifetimes of couples (such as husbands and wives). This dependence materially affects the values of multi-life annuities and insurances. Using the Frechet-Hoeffding bounds and Norberg's Markov model, we determine the effect of this dependence in lifetimes on the actuarial present values of a widow's pension benefit.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 1999 Absalom Press