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A multi-state model approach for risk analysis of pensions for married couples with consideration of mortality difference by marital status
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Type
Academic journal
Author
Anastasia Stefani (Soongsil University) Hyuk-Sung Kwon (Soongsil University)
Journal
한국통계학회 CSAM(Communications for Statistical Applications and Methods) Vol.28 No.6 KCI Accredited Journals SCOPUS
Published
2021.11
Pages
611 - 626 (16page)

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A multi-state model approach for risk analysis of pensions for married couples with consideration of mortality difference by marital status
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Abstract· Keywords

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Marital status has been identified as an important risk factor affecting adult mortality. Many studies have found that marriage has positive effects on mortality and increases life expectancy. Since most pension contracts providing retirement income are provided to married couples, mortality assumption for actuarial valuation based on the entire population is likely to overestimate the actual mortality of the group of beneficiaries specified in the contracts. This study considered the differences in mortality according to marital status to analyze the length and value of the payments of a typical pension contract for a married couple. The study quantified the effect on actuarial measurements of considering marital status in mortality assumptions with a multi-state model framework using Korean experience mortality data organized by marital status. The results of analysis indicate that considering marital status in mortality assumptions improves mortality risk management.
#annuity #marital status #mortality #multi-state model #pension #risk factor

Contents

Abstract
1. Background
2. Data
3. Construction of a model for the lifetime of married couples
4. Implications for risk management of annuities for married couples
5. Conclusion
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