• Login
    View Item 
    •   SU+ Home
    • Research and Publications
    • Strathmore Institute of Mathematical Sciences (SIMs)
    • SIMs Projects, Theses and Dissertations
    • BBSA Research Projects
    • BBSA Research Projects (2015)
    • View Item
    •   SU+ Home
    • Research and Publications
    • Strathmore Institute of Mathematical Sciences (SIMs)
    • SIMs Projects, Theses and Dissertations
    • BBSA Research Projects
    • BBSA Research Projects (2015)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Incorporating dependence into the pricing of joint life annuities.

    Thumbnail
    View/Open
    Full Text (19.88Mb)
    Date
    2015
    Author
    Ohuru, Vincent Nyarango
    Metadata
    Show full item record
    Abstract
    This study incorporated dependence of lives into the pricing of joint life annuities in Kenya. Currently the Kenyan industry practitioners base this pricing on the traditional assumption of independence oflives which has long been discredited as it ignores the fact that the underlying lives face similar risks . To value benefits under these policies accurately, a statistical model that assesses the impact of survivorship of one life on another was applied in this study. The Markovian model was applied to incorporate dependence into the pricing ofjoint life annuities. In the Markovian model the researcher considered three types of dependence which are : a) the instantaneous dependence that is due to a catastrophic event affecting both lives; b) the short-term dependence that can cause death to a surviving partner after the death of the spouse; c) the long-term dependence that results from the association between lifetimes, to generate the joint probabilities of survival that were then incorporated into the pricing of joint life annuities.
    URI
    http://hdl.handle.net/11071/5098
    Collections
    • BBSA Research Projects (2015) [27]

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of SU+Communities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV