Finance Department

 

Date of this Version

1999

Document Type

Article

Citation

Journal of Actuarial Practice 7 (1999), pp. 147-180

Comments

Copyright 1999 Absalom Press

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.

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