Journal article

A General Semi-Markov Model for Coupled Lifetimes

Min Ji, R Zhou

North American Actuarial Journal | Taylor & Francis (Routledge) | Published : 2019

Abstract

Joint-life annuities with a high last survivor benefit play an important role in the optimal annuity portfolio for a retired couple. The dependence between coupled lifetimes is crucial for valuing joint-life annuities. Existing bivariate modeling of coupled lifetimes is based on outdated data with limited observation periods and does not take into account mortality improvement. In this article, we propose a transparent and dynamic framework for modeling coupled lifetime dependence caused by both marital status and common mortality improvement factors. Dependence due to marital status is captured by a semi-Markov joint life model. Dependence due to common mortality improvement, which represen..

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University of Melbourne Researchers

Grants

Funding Acknowledgements

The authors acknowledge the financial support from the Natural Science and Engineering Research Council of Canada.