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

DOI10.1016/J.INSMATHECO.2015.09.003zbMATH Open1348.91181arXiv1503.02034OpenAlexW1947508263MaRDI QIDQ896763FDOQ896763

Alexander Sokol

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

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. We show how the standard formulas from the Danish G82 concession can be obtained as a special case of our generic model. We also derive expressions for liabilities for spouse's pensions in models more advanced than found in the G82 concession. The generic nature of our model and results furthermore enable the calculation of cashflows and liabilities using simple estimates of marital behaviour among a population.

Full work available at URL: https://arxiv.org/abs/1503.02034

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zbMATH Keywords

marked point processlife insurancelongevitycashflowliability

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Markov Chain Models in Life Insurance
• Point process theory and applications. Marked point and picewise deterministic processes.
• Reserves in Life and Pension Insurance
• Multistate models in health insurance

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