Abstract:This paper studies the dependence between coupled lives -both within and across generations -and its e¤ects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. Dependence is modelled through copula functions. We consider Archimedean single and multi-parameter copulas. We …nd that dependence decreases when passing from older generations to younger generations. Not only the level of dependence but also its features -as measure… Show more
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