Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2012
This paper studies the dependence between coupled lives - both within and across generations - and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. Dependence is modelled through copula...