2021-07-01
Joint and survivor annuity valuation with a bivariate reinforced urn process
Publication
Publication
Insurance: Mathematics and Economics , Volume 99 p. 174- 189
We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the existing literature, mainly relying on copulas. Based on urn processes and a one-factor construction, the proposed model is able to improve its performances over time, in line with the machine learning paradigm, and it also allows for the use of experts' judgements, to complement the empirical data.
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| , , , , | |
| doi.org/10.1016/j.insmatheco.2021.04.004 | |
| Insurance: Mathematics and Economics | |
| Valuation Adjustments for Improved Risk Management | |
| Organisation | Scientific Computing |
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Souto Arias, L., & Cirillo, P. (2021). Joint and survivor annuity valuation with a bivariate reinforced urn process. Insurance: Mathematics and Economics, 99, 174–189. doi:10.1016/j.insmatheco.2021.04.004 |
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