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Joint and survivor annuity valuation with a bivariate reinforced urn process
Insurance: Mathematics and Economics ( IF 1.9 ) Pub Date : 2021-04-20 , DOI: 10.1016/j.insmatheco.2021.04.004
Luis A. Souto Arias , Pasquale Cirillo

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.



中文翻译:

联合和遗属年金评估,采用双变量强化骨灰盒法

我们引入了一种新颖的方式来模拟耦合寿命的相关性,以对联合年金和遗属年金进行定价。使用加拿大著名的数据集,我们的结果进行了分析,并与现有文献进行了比较,主要依靠copulas。基于缸体过程和单因素构建,所提出的模型能够根据机器学习范式随着时间的推移改善其性能,并且还允许使用专家的判断来补充经验数据。

更新日期:2021-04-20
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