The dependence structure of the life statuses plays an important role in the valuation of life insurance products involving multiple lives. Although the mortality of individuals is well studied in the literature, their dependence remains a challenging field. In this paper, the main objective is to introduce a new approach for analyzing the mortality dependence between two individuals in a couple. It is intended to describe in a dynamic framework the joint mortality of married couples in terms of marginal mortality rates. The proposed framework is general and aims to capture, by adjusting some parametric form, the desired effect such as the “broken-heart syndrome”. To this end, we use a well-suited multiplicative decomposition, which will serve as a building block for the framework to relate the dependence structure and the marginals, and we make the link with existing practice of affine mortality models. Finally, given that the framework is general, we propose some illustrative examples and show how the underlying model captures the main stylized facts of bivariate mortality dynamics.

生命状态的依赖结构在涉及多条生命的人寿保险产品的估值中起着重要作用。尽管文献中对个体的死亡率进行了很好的研究，但他们的依赖性仍然是一个具有挑战性的领域。在本文中，主要目的是介绍一种新方法来分析夫妻中两个人之间的死亡率依赖性。它旨在在动态框架中以边际死亡率的形式描述已婚夫妇的联合死亡率。所提出的框架是通用的，旨在通过调整一些参数形式来捕捉预期的效果，例如“心碎综合症”。为此，我们使用了一个非常合适的乘法分解，它将作为框架的构建块来关联依赖结构和边际，我们将与仿射死亡率模型的现有实践联系起来。最后，鉴于该框架是通用的，我们提出了一些说明性示例，并展示了基础模型如何捕捉双变量死亡率动态的主要程式化事实。