The talk I gave at the risk and actuarial seminar, at UNSW, in Sydney, two weeks ago has been recorded (mp4). I was presenting our recent work, with Olivier Cabrignac and Ewen Gallic, on “Modeling Joint Lives within Families”.
With Olivier Cabrignac and Ewen Gallic, we recently uploaded a research paper, entitled “Modeling Joint Lives within Families”
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.
The paper is online on https://arxiv.org/abs/2006.08446.
Today and tomorrow, I will attend the Online International Conference in Actuarial science, data science and finance, organised by colleagues in Lyon. But I won’t be in Lyon, I will be at home, in Montréal…