Valuation of Equity-Linked Death Benefits on Two Lives with Dependence

Kokou Essiomle, Franck Adékambi

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


The purpose of this paper is to investigate equity-linked death benefits for joint alive and last survivor individuals. Utilizing Farlie–Gumbel–Morgenstern (FGM) type dependency modeling framework, we first analyze the joint distribution of the couple (joint alive and last survival density) when marginal distributions follow mixed exponentials and weighted exponentials distributions. Then, we derive the price of the guaranteed minimum death benefit (GMDB) product. In addition, we provide closed analytical expressions of the price of some financial contingent claim contracts (classical and exotic options). Furthermore, we present some numerical results to support our theoretical results. We show in our numerical example that it is important to model the dependency between two lives (couple) since the price changes as the copula parameter changes.

Original languageEnglish
Article number21
Issue number1
Publication statusPublished - Jan 2023


  • Farlie–Gumbel–Morgenstern copula
  • equity-linked death benefits
  • lookback option
  • multi-life
  • weighted exponentials distributions

ASJC Scopus subject areas

  • Accounting
  • Economics, Econometrics and Finance (miscellaneous)
  • Strategy and Management


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