Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process
23 Pages Posted: 2 Sep 2020 Last revised: 22 Apr 2021
Date Written: July 24, 2020
Abstract
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 analysed 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.
Keywords: urn process, joint distribution, annuity, mortality
JEL Classification: C11, G22, J32
Suggested Citation: Suggested Citation