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Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: Joint and survivor annuity valuation with a bivariate reinforced urn process
Authors: Souto Arias, Luis A.
Cirillo, Pasquale
et. al: No
DOI: 10.1016/j.insmatheco.2021.04.004
Published in: Insurance: Mathematics and Economics
Volume(Issue): 99
Page(s): 174
Pages to: 189
Issue Date: 2021
Publisher / Ed. Institution: Elsevier
ISSN: 0167-6687
Language: English
Subjects: Annuity; Bivariate survival function; Reinforced urn process; Bayesian nonparametrics; Right-censoring
Subject (DDC): 332.38: Insurances
510: Mathematics
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 analyzed 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.
Fulltext version: Published version
License (according to publishing contract): CC BY 4.0: Attribution 4.0 International
Departement: School of Management and Law
Organisational Unit: Institute of Business Information Technology (IWI)
Appears in collections:Publikationen School of Management and Law

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