Description: This paper aims to present a systematic procedure for valuing group self annuitization GSA payouts in the presence of changing mortality. Presented at Managing Retirement Assets Symposium

Description: This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called a copula. Using data from a large insurance company to illustrate our methods, we calculate maximum likelihood estimates to calibrate the rnodel.