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Estimating the joint survival probabilities of married individuals

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  • Sanders, Lisanne
  • Melenberg, Bertrand

Abstract

We estimate the joint survival probability of spouses using a large random sample drawn from a Dutch census. As benchmarks we use two bivariate Weibull models. We consider more flexible models, using a semi-nonparametric approach, by extending the independent Weibull distribution using squared polynomials. Also based on a nonparametric comparison, we find that extending the independent Weibull distribution by a squared third order polynomial shows the best performance. We illustrate our model by calculating remaining life expectancies and annuity values. We find that the husbands life expectancy at birth is generally increasing with his wifes age of death and the wifes life expectancy at birth is generally increasing with her husbands age of death. Ignoring the dependence between the remaining lifetimes of spouses may lead to an underestimation of the value of a joint annuity and an overestimation of the value of a single-life annuity, but less than suggested on the basis of the previous literature.

Suggested Citation

  • Sanders, Lisanne & Melenberg, Bertrand, 2016. "Estimating the joint survival probabilities of married individuals," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 88-106.
    • Handle: RePEc:eee:insuma:v:67:y:2016:i:c:p:88-106
    DOI: 10.1016/j.insmatheco.2015.12.006
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    References listed on IDEAS

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    Cited by:

    1. Janice Compton & Robert A Pollak, 2021. "The life expectancy of older couples and surviving spouses," PLOS ONE, Public Library of Science, vol. 16(5), pages 1-13, May.
    2. Souto Arias, Luis A. & Cirillo, Pasquale, 2021. "Joint and survivor annuity valuation with a bivariate reinforced urn process," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 174-189.

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    More about this item

    Keywords

    Mortality; Life expectancy; Annuity; Non-parametrics; Joint survival;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • J10 - Labor and Demographic Economics - - Demographic Economics - - - General

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