Joint annuity modeling via asymmetric GB2 copulas
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In the valuation of joint annuities, the traditional approach that ignores possible asymmetric interdependence between the male and female mortality may inadequately depict the surviving spouse’s post-bereavement lifetime. In this regard, this article utilizes the asymmetric GB2 (AGB2) copulas family that can incorporate possible asymmetric dependence among the partners’ mortality with less parameters. Based on an empirical analysis, it is revealed that the proposed AGB2 copulas not only enhance goodness-of-fit but also introduce a novel perspective in joint annuity valuation by capturing distinct impacts of a spouse’s death depending on gender.
Abstract
In the valuation of joint annuities, the traditional approach that ignores possible asymmetric interdependence between the male and female mortality may inadequately depict the surviving spouse’s post-bereavement lifetime. In this regard, this article utilizes the asymmetric GB2 (AGB2) copulas family that can incorporate possible asymmetric dependence among the partners’ mortality with less parameters. Based on an empirical analysis, it is revealed that the proposed AGB2 copulas not only enhance goodness-of-fit but also introduce a novel perspective in joint annuity valuation by capturing distinct impacts of a spouse’s death depending on gender.
참고문헌 (12)
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