Centro de Documentacion de Fundación MAPFRE - Broken-heart, common life, heterogeneity : analyzing the spousal mortality dependence

MAP20170030508

Broken-heart, common life, heterogeneity : analyzing the spousal mortality dependence / Yang Lu

38 p.

Sumario: Using data on joint annuities, we conduct an analysis of the inter-couple lifetime dependence. We estimate a mixed proportional hazards model with treatment effects, which disentangles the broken-heart syndrome from the spurious risk dependence induced by unobserved heterogeneities.We use a flexible semiparametric distribution for the unobserved heterogeneities to allow for either positive or negative spurious risk dependence. We find that the effect of losing one¿s spouse is asymmetric for the two sexes. Moreover, although the brokenheart syndrome explains a large portion of the dependency, there is evidence of positive spurious risk dependence. These findings have important implications for the pricing of joint insurance products. Failure to take into account either of these two effects leads to pricing error that can be either positive or negative, depending on the characteristics of the couple

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 837-874

1. Supervivencia . 2. Dependencia . 3. Productos de seguros . 4. Precios . I. Título.