Joint and survivor annuity valuation with a bivariate reinforced urn process
提出一种基于瓮过程和单因子结构的新模型，用于刻画夫妻寿命的相依性，从而为联合与生存年金定价；模型能随时间自我改进，并允许融入专家判断，优于传统Copula方法。
We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the existing literature, mainly relying on copulas. Based on urn processes and a one-factor construction, the proposed model is able to improve its performances over time, in line with the machine learning paradigm, and it also allows for the use of experts' judgements, to complement the empirical data.