Yang Lu

ecolunch

Yang Lu

AMSE
Broken-heart, common life, heterogeneity: Analyzing the spousal mortality dependence
Lieu

VC Salle A

Centre de la Vieille-Charité - Salle A

Centre de la Vieille Charité
2 rue de la Charité
13002 Marseille

Date(s)
Jeudi 7 janvier 2016| 12:30 - 13:45
Contact(s)

Mathieu Faure : mathieu.faure[at]univ-amu.fr
Kenan Huremovic : kenan.huremovic[at]univ-amu.fr

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 find that the effect of losing one’s spouse is persistent, and 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.