A generic model for spouse’s pensions with a view towards the calculation of liabilities |
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| Institution: | 1. HEC Montreal, NBER, Canada;2. Netspar, Tilburg University, IZA, Netherlands;3. Université Laval, Canada;1. ROA, Maastricht University: PO-box 616, Tongersestraat 53, 6200 MD Maastricht, the Netherlands;2. IZA, Bonn, Germany, Schaumburg-Lippe-Straße 5-9, 53113 Bonn, Germany;3. Netspar, PO-box 90153, 5000LE, Tilburg, the Netherlands |
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| Abstract: | We introduce a generic model for spouse’s pensions. The generic model allows for the modeling of various types of spouse’s pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse’s pensions. In particular, we show that our generic model allows for simple modeling of longevity improvements, enabling the calculation of the Solvency II capital requirements related to longevity risk for spouse’s pensions. |
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| Keywords: | Life insurance Liability Cashflow Marked point process Longevity |
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