Multiple life insurance

In this thesis, multiple life insurance products are investigated in the case of two lives. Initially two types of joint life policies, joint-life and last-survivor products, have been examined under the independence assumption of future lifetimes. In the case of married couples, the use of dependent mortality model have been studied the impact on pricing of last-survivor policies. The first purpose of the study is to compare the premium values of last - survivor products with the independence and dependence assumption of lifetimes of spouses. The second aim is to search whether using age difference factor in the model has the impact on dependence structure and premium valuation. Thus, Gumbel-Hougaard copula with Weibull marginal distribution function was chosen to generate the dependence structure because of its convenient functional form. Then, the parameters of Weibull survival distributions related to Turkey have been estimated for females and males according to three models: Independent, dependent and dependent with age difference variable. As a result, under the fixed interest rate assumption, the actuarial present values of joint last survivor insurances and annuities for all models have been calculated based on these parameter estimations related to Turkey, and the results have been compared as ratios together with three dimensional plots. Keywords : Multiple life insurance, last-survivorship, joint life, actuarial present value, lifetime dependence, dependent mortality model, copula.