Application of Copulas to Modelling of Marriage Reverse Annuity Contract
Joanna Dębicka , Stanisław Heilpern , Agnieszka Marciniuk
AbstractWe model the probabilistic structure and cash flows arising from marriage reverse annuity contracts in the case of the joint-life status and the last surviving status. In contrast to the classical approach, we take into consideration that future lifetimes between spouses are dependent. The structure of dependence of the length of spouses’ lives is modelled using copulas. The term structure of interest rate is modelled using a time-dependent function. The numerical results are based on actual Polish data covering both the structure of the probabilistic model and the interest rate.
|Journal series||Prague Economic Papers, ISSN 1210-0455, e-ISSN 2336-730X, (N/A 40 pkt)|
|Publication size in sheets||1.15|
|Keywords in English||Longevity risk, dependent lifetimes, reverse annuity contract, selling model, multistate model, copula, equity release contracts|
|Score||= 40.0, 23-09-2020, ArticleFromJournal|
|Publication indicators||: 2018 = 0.712; : 2017 = 0.409 (2) - 2017=0.557 (5)|
|Uwaga||Partial financial support from grant no. 2013/09/B/HS4/00490 “Non-Standard Multilife Insurance Products with Dependence Between Insured” is gratefully acknowledged.|
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