Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives
Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives
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DOI：
10.1017/s1748499512000292
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发表时间：
2012-11
影响因子：
1.7
通讯作者：
J. Spreeuw;Iqbal Owadally
中科院分区：
文献类型：
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作者：
J. Spreeuw;Iqbal Owadally
摘要 我们通过将多状态模型拟合到大型保险数据集来分析夫妇的死亡率。我们发现证据表明，伴侣去世后死亡率会增加，而且这种现象会随着时间的推移而减少。这通常被称为“心碎”效应，我们发现它对鳏夫的影响比寡妇更大。因此，共同生命的剩余寿命表现出短期依赖性。我们开展的数值工作涉及典型或有保证合同以及共同人寿年金和遗属年金的定价和估值。如果保险公司忽视依赖性，或错误地将其指定为长期依赖性，那么可能会导致严重的错误定价和不适当的拨备。给出了详细的数值结果。
Abstract We analyze the mortality of couples by fitting a multiple state model to a large insurance data set. We find evidence that mortality rates increase after the death of a partner and, in addition, that this phenomenon diminishes over time. This is popularly known as a “broken-heart” effect and we find that it affects widowers more than widows. Remaining lifetimes of joint lives therefore exhibit short-term dependence. We carry out numerical work involving the pricing and valuation of typical contingent assurance contracts and of a joint life and survivor annuity. If insurers ignore dependence, or mis-specify it as long-term dependence, then significant mis-pricing and inappropriate provisioning can result. Detailed numerical results are presented.