Grant: Discovery Grants Program - Individual

Throughout their life course, individuals experience various significant transitions. Some are due to health changes, and others are due to important changes that occur, for example, upon marriage, retirement or the death of a spouse. These transitions may have financial implications either for the individuals themselves or for insurance companies to whom risks have been transferred. The main goals of this research program are to develop and explore models that allow one to understand the financial impact of various life transitions and to study approaches to determining appropriate amounts to compensate for the financial uncertainty when risks are transferred. Specific projects include the following: 1. Development and investigation of Markov models for disability insurance, where the times spent active and disabled have phase-type distributions. We shall explore the model structure required as well as the use of the model for actuarial calculations. This research will provide actuaries with methods for easily calculating financial quantities needed in actuarial analyses of disability insurance. 2. Development and investigation of models for the lifetimes of couples. Multi-state models will be created and used to explore the impact of dependence on joint insurance and annuity policies. This research will allow insurers to determine more appropriate values of joint life insurance and annuites.