A Note on Dependencies in Multiple Life Statuses

Bulletin of the Swiss Association of Actuaries, Vol. 1, pp. 19-34, 2000

22 Pages Posted: 1 Mar 2006

See all articles by Jan Dhaene

Jan Dhaene

Katholieke Universiteit Leuven

Marleen Vanneste

KU Leuven - Department of Economics

H. Wolthuis

University of Amsterdam - Department of Quantitative Economics (KE)

Abstract

We introduce the correlation order as a tool for describing and understanding dependencies in multiple life statuses. This order is well-known in the economical literature. It is a partial order in the class of all bivariate lifetime distributions with given marginals. It is shown that this order is preserved (or reversed) when pricing multiple life and last survivor insurance and annuity contracts. In particular, we establish conditions that provide information on phenomenon of over/underpricing when the usual assumption of mutual independency of the life times involved is made. The results can also be used to establish lower and upper bounds for the single premiums of insurances and annuities on joint-life and last-survivor statuses with given marginals.

Keywords: correlation order, joint-life statuses, last-survivor statuses,

Suggested Citation

Dhaene, Jan and Vanneste, Marleen and Wolthuis, H., A Note on Dependencies in Multiple Life Statuses. Bulletin of the Swiss Association of Actuaries, Vol. 1, pp. 19-34, 2000 , Available at SSRN: https://ssrn.com/abstract=884460

Jan Dhaene (Contact Author)

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Marleen Vanneste

KU Leuven - Department of Economics ( email )

Leuven, B-3000
Belgium

H. Wolthuis

University of Amsterdam - Department of Quantitative Economics (KE) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

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