Application of Copulas to Modelling of Marriage Reverse Annuity Contract

Joanna Dębicka , Stanisław Heilpern , Agnieszka Marciniuk

Abstract

We 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.
Author Joanna Dębicka (E&F / DoS)
Joanna Dębicka,,
- Department of Statistics
, Stanisław Heilpern (E&F / DoS)
Stanisław Heilpern,,
- Department of Statistics
, Agnieszka Marciniuk (E&F / DoS)
Agnieszka Marciniuk,,
- Department of Statistics
Journal seriesPrague Economic Papers, ISSN 1210-0455, e-ISSN 2336-730X, (N/A 40 pkt)
Issue year2020
Vol29
No4
Pages445-468
Publication size in sheets1.15
Keywords in EnglishLongevity risk, dependent lifetimes, reverse annuity contract, selling model, multistate model, copula, equity release contracts
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.18267/j.pep.745
Languageen angielski
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Debicka_J_Heilpern_Marciniuk_A_Application_of_Copulas_to_Modelling.pdf 542,45 KB
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 23-09-2020, ArticleFromJournal
Publication indicators Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.712; WoS Impact Factor: 2017 = 0.409 (2) - 2017=0.557 (5)
Citation count*
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UwagaPartial 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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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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