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A generic model for spouse’s pensions with a view towards the calculation of liabilities

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  • Sokol, Alexander

Abstract

We introduce a generic model for spouse’s pensions. The generic model allows for the modeling of various types of spouse’s pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse’s pensions. In particular, we show that our generic model allows for simple modeling of longevity improvements, enabling the calculation of the Solvency II capital requirements related to longevity risk for spouse’s pensions.

Suggested Citation

  • Sokol, Alexander, 2015. "A generic model for spouse’s pensions with a view towards the calculation of liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 198-207.
    • Handle: RePEc:eee:insuma:v:65:y:2015:i:c:p:198-207
    DOI: 10.1016/j.insmatheco.2015.09.003
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    References listed on IDEAS

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    1. Marcus Christiansen, 2012. "Multistate models in health insurance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 155-186, June.
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    More about this item

    Keywords

    Life insurance; Liability; Cashflow; Marked point process; Longevity;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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