This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, 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...

Time changed Brownian motions are extensively applied as decision models for asset returns in Finance. On the other hand infinite divisible normal mixtures generate time changed Brownian motions. The standard generalization leading to the multivariate setting of normal mean variance mixtures...

In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible,...