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Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives

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  • Spreeuw, Jaap
  • Owadally, Iqbal

Abstract

We analyze the mortality of couples by fitting a multiple state model to a large insurance data set. We find evidence that mortality rates increase after the death of a partner and, in addition, that this phenomenon diminishes over time. This is popularly known as a “broken-heart” effect and we find that it affects widowers more than widows. Remaining lifetimes of joint lives therefore exhibit short-term dependence. We carry out numerical work involving the pricing and valuation of typical contingent assurance contracts and of a joint life and survivor annuity. If insurers ignore dependence, or mis-specify it as long-term dependence, then significant mis-pricing and inappropriate provisioning can result. Detailed numerical results are presented.

Suggested Citation

  • Spreeuw, Jaap & Owadally, Iqbal, 2013. "Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives," Annals of Actuarial Science, Cambridge University Press, vol. 7(2), pages 236-257, September.
    • Handle: RePEc:cup:anacsi:v:7:y:2013:i:02:p:236-257_00
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    Citations

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    Cited by:

    1. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    2. Safari-Katesari Hadi & Zaroudi Samira, 2021. "Analysing the impact of dependency on conditional survival functions using copulas," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 217-226, March.
    3. Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
    4. Gregory Ponthiere, 2016. "The contribution of improved joint survival conditions to living standards: an equivalent consumption approach," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 46(2), pages 407-449, February.
    5. Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A., 2023. "Joint lifetime modeling with matrix distributions," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-22, January.
    6. Hadi Safari-Katesari & Samira Zaroudi, 2021. "Analysing the impact of dependency on conditional survival functions using copulas," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 217-226, March.
    7. Manuel Ventura-Marco & Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González, 2022. "Life care annuities to help couples cope with the cost of long-term care," Documentos de Trabajo del ICAE 2022-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
    9. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
    10. Ventura-Marco, Manuel & Vidal-Meliá, Carlos & Pérez-Salamero González, Juan Manuel, 2023. "Joint life care annuities to help retired couples to finance the cost of long-term care," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 122-139.

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