Stochastic analysis of longevity risk in dependent multiple life annuities

Özer Bakar; Murat Büyükyazıcı

Stochastic analysis of longevity risk in dependent multiple life annuities

Abstract

The aim of this paper is to examine the n et single premiums of multiple l ife annuities using stochastic rates of return and dynamic life table under the assumption of dependency of spouses’ future lifetimes. In order to calculate the present value of the annuity or the net single premium, two parameters are needed: survival rate and the rate of return. For the survival rates, we used a life table with a time dimension for Turkey, in which mortality rates follow a declining pattern, a major indicator of longevity. For the rate of return, two portfolios were created, low and high risk portfolios that include assets with different ratios and AR(1) process was used to model the rates of return based on both portfolios. To assess the dependency, future lifetimes of spouses were assumed to follow Frank’s copula model. The effects of longevity, stochastic rates of return and dependency of future lifetimes on these net single premiums were analyzed.

Keywords

References

The article references can be accessed from the .pdf file.

Details

Primary Language

English

Subjects

Engineering

Journal Section

Research Article

Authors

Özer Bakar ^* This is me
0000-0003-4513-999X
Türkiye

Murat Büyükyazıcı This is me
0000-0002-8622-4659
Türkiye

Publication Date

June 6, 2022

Submission Date

August 10, 2020

Acceptance Date

May 27, 2021

Published in Issue

Year 2022 Volume: 40 Number: 2

IZ

https://izlik.org/JA29UA75EJ

Cite

RIS / Bibtex

APA

Bakar, Ö., & Büyükyazıcı, M. (2022). Stochastic analysis of longevity risk in dependent multiple life annuities. Sigma Journal of Engineering and Natural Sciences, 40(2), 235-242. https://izlik.org/JA29UA75EJ

AMA

1.Bakar Ö, Büyükyazıcı M. Stochastic analysis of longevity risk in dependent multiple life annuities. SIGMA. 2022;40(2):235-242. https://izlik.org/JA29UA75EJ

Chicago

Bakar, Özer, and Murat Büyükyazıcı. 2022. “Stochastic Analysis of Longevity Risk in Dependent Multiple Life Annuities”. Sigma Journal of Engineering and Natural Sciences 40 (2): 235-42. https://izlik.org/JA29UA75EJ.

EndNote

Bakar Ö, Büyükyazıcı M (June 1, 2022) Stochastic analysis of longevity risk in dependent multiple life annuities. Sigma Journal of Engineering and Natural Sciences 40 2 235–242.

IEEE

[1]Ö. Bakar and M. Büyükyazıcı, “Stochastic analysis of longevity risk in dependent multiple life annuities”, SIGMA, vol. 40, no. 2, pp. 235–242, June 2022, [Online]. Available: https://izlik.org/JA29UA75EJ

ISNAD

Bakar, Özer - Büyükyazıcı, Murat. “Stochastic Analysis of Longevity Risk in Dependent Multiple Life Annuities”. Sigma Journal of Engineering and Natural Sciences 40/2 (June 1, 2022): 235-242. https://izlik.org/JA29UA75EJ.

JAMA

1.Bakar Ö, Büyükyazıcı M. Stochastic analysis of longevity risk in dependent multiple life annuities. SIGMA. 2022;40:235–242.

MLA

Bakar, Özer, and Murat Büyükyazıcı. “Stochastic Analysis of Longevity Risk in Dependent Multiple Life Annuities”. Sigma Journal of Engineering and Natural Sciences, vol. 40, no. 2, June 2022, pp. 235-42, https://izlik.org/JA29UA75EJ.

Vancouver

1.Özer Bakar, Murat Büyükyazıcı. Stochastic analysis of longevity risk in dependent multiple life annuities. SIGMA [Internet]. 2022 Jun. 1;40(2):235-42. Available from: https://izlik.org/JA29UA75EJ