Format du dépôt |
Fichier |
Type de dépôt |
Pré-publication, Document de travail |
Titre |
en
Modeling Joint Lives within Families
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Résumé |
en
Family history is usually seen as a significant factor insurance companies look at when applying for a life insurance policy. Where it is used, family history of cardiovascular diseases, death by cancer, or family history of high blood pressure and diabetes could result in higher premiums or no coverage at all. In this article, we use massive (historical) data to study dependencies between life length within families. If joint life contracts (between a husband and a wife) have been long studied in actuarial literature, little is known about child and parents dependencies. We illustrate those dependencies using 19th century family trees in France, and quantify implications in annuities computations. For parents and children, we observe a modest but significant positive association between life lengths. It yields different estimates for remaining life expectancy, present values of annuities, or whole life insurance guarantee, given information about the parents (such as the number of parents alive). A similar but weaker pattern is observed when using information on grandparents.
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Auteur(s)
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Olivier Cabrignac
1
, Arthur Charpentier
2
, Ewen Gallic
3
1
SCOR Global Life
( 324446 )
-
- France
2
UQAM -
Université du Québec à Montréal = University of Québec in Montréal
( 360045 )
- Université du Québec à Montréal CP 8888, succursale Centre-ville Montréal (Québec) H3C 3P8
- Canada
3
AMSE -
Aix-Marseille Sciences Economiques
( 526949 )
- 5-9 Boulevard Bourdet
CS 50498
13205 Marseille Cedex 1
- France
-
École des hautes études en sciences sociales UMR7316 ( 99539 )
;
-
Aix Marseille Université UMR7316 ( 198056 )
;
-
École Centrale de Marseille UMR7316 ( 300415 )
;
-
Centre National de la Recherche Scientifique UMR7316 ( 441569 )
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Langue du document |
Anglais
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Domaine(s) |
-
Sciences de l'Homme et Société/Economies et finances
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Sciences de l'Homme et Société/Histoire, Philosophie et Sociologie des sciences
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Mots-clés (JEL) |
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C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C13 - Estimation: General
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C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C18 - Methodological Issues: General
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C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C46 - Specific Distributions • Specific Statistics
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C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C55 - Large Data Sets: Modeling and Analysis
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J - Labor and Demographic Economics/J.J1 - Demographic Economics/J.J1.J11 - Demographic Trends, Macroeconomic Effects, and Forecasts
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J - Labor and Demographic Economics/J.J1 - Demographic Economics/J.J1.J12 - Marriage • Marital Dissolution • Family Structure • Domestic Abuse
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G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G22 - Insurance • Insurance Companies • Actuarial Studies
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G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill
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Référence interne |
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Working paper AMSE 2020-21
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Financement |
-
A. Charpentier acknowledges the support of the Natural Sciences and Engineering Research Council of Canada Grant NSERC-2019-07077
-
E. Gallic acknowledges the support of the French National Research Agency Grant ANR-17-EURE-0020
-
Initial work on the dataset was funded by the ACTINFO chair, of the Institut Louis Bachelier
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Projet(s) ANR |
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Mots-clés |
en
annuities, collaborative data, dependence, family history, genealogy, grandparents-grandchildren, information, joint life insurance, parents-children, whole life insurance
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