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septembre 2017
- handle: 10670/1.5ksohz
- hal: hal-03583117
- doi: 10.1017/asb.2017.8
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info:eu-repo/semantics/altIdentifier/doi/10.1017/asb.2017.8
Mots-clés
Broken-heart joint survivor annuity mixed proportional hazards competing risks model treatment effect unobserved heterogeneities ACL-3 /BSujets proches
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Yang Lu, « Broken-Heart, Common Life, Heterogeneity: Analyzing the Spousal Mortality Dependence », HALSHS : archive ouverte en Sciences de l’Homme et de la Société, ID : 10.1017/asb.2017.8
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Résumé
Using data on joint annuities, we conduct an analysis of the inter-couple lifetime dependence. We estimate a mixed proportional hazards model with treatment effects, which disentangles the broken-heart syndrome from the spurious risk dependence induced by unobserved heterogeneities. We use a flexible semi-parametric distribution for the unobserved heterogeneities to allow for either positive or negative spurious risk dependence. We find that the effect of losing one's spouse is asymmetric for the two sexes. Moreover, although the broken-heart syndrome explains a large portion of the dependency, there is evidence of positive spurious risk dependence. These findings have important implications for the pricing of joint insurance products. Failure to take into account either of these two effects leads to pricing error that can be either positive or negative, depending on the characteristics of the couple.