Michel Denuit and Anne Cornet
Abstract
Actuaries traditionally have calculated multilife (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 multilife annuities and insurances. Using the Fréchet-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.
Key words and phrases: joint lives, reversionary annuity, widow's pension, Fréchet-Hoeffding bounds, Markov model.
Michel Denuit
Institut de Statistique
Université Catholique de Louvain
20 Voie du Roman Pays
B-1348 Louvain-la-Neuve
BELGIUM
Anne Cornet
Institut de Statistique et de Recherche Opérationnelle
Université Libre de Bruxelles
Campus de la Plaine, CP 210
B-1050 Bruxelles
BELGIUM
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