Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18
, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a … stochastic mortality intensity. We find that a generation-based model is important, since spouses' dependence decreases when …