Press release

4 April 2008

Research published today by Cass Business School, sponsored by The Actuarial Profession, has found that the chance of dying in the year immediately following the death of a partner could be up to twice as likely for women and up to six times greater for men than in subsequent years. However, the research, which is based on analysis of some 11,000 life annuity contracts a five year period, illustrates that after this period, the chance of dying reduces. The findings demonstrate the strong dependence between the lifetimes of coupled lives.

Author, Dr Jaap Spreeuw, Senior Lecturer in Actuarial Science at Cass Business School, commented: “We all know that the death of a loved one will have massive impact on the life of the husband or wife left behind but this research shows it will have direct impact on their mortality. It statistically proves that people can die of a broken heart during the earliest stages of bereavement. The good news is that it also shows that after the first years of mourning, the chance of dying decreases, demonstrating that people can recover from losing their loved one.”

Paul Sweeting, chairman of the Actuarial Profession's Research Steering Committee, commented: “Not only does this research confirm the existence of broken heart syndrome, but it gives an idea of how long the effect lasts. This could help to make premiums fairer, both for life assurance policies and for annuities."

The research paper is based on analysis of 11,454 life annuity contracts for couples in ‘permanent’ relationships held by a Canadian insurer between 1988 and 1993. Of the data set, there were 195 couples where both individuals died during the observation process; 1,303 couples where one partner died during observation; and 9,956 where both survived. Only couples aged 40 years and over were considered, which means that another 88 policies were left out (see methodology). Death for those who lost their partner less than a year previously was found to be up to twice as likely for women and up to six times greater for men, compared with men and women of the same age whose partner died more than a year previously.

The analysis was designed for use by insurance companies to help price life assurance and pensions products. The full paper is available to download from The Actuarial Profession’s website www.actuaries.org.uk.

For more information please contact:

Andrew Black on 020 76321453

James Terry on 020 7400 4480/07941 829582

Notes to Editors:

1. Actuaries provide commercial, financial and prudential advice on the management of a business’s assets and liabilities, especially where long term management and planning are critical to the success of any business venture. They also advise individuals, and advise on social and public interest issues.
2. Members of the Profession have a statutory role in the supervision of pension funds and life insurance companies. They also have a statutory role to provide actuarial opinions for managing agents at Lloyd’s.
3. The Profession is governed jointly by the Faculty of Actuaries in Edinburgh and the Institute of Actuaries in London. A rigorous examination system is supported by a programme of continuing professional development and a professional code of conduct supports high standards reflecting the significant role of the Profession in society.

Research methodology

The original data set concerns 14,947 contracts which were in force with a large Canadian insurer. The contracts are joint-life and last survivor annuities that were in the pay-out status over the observation period. The observation period run from December 29, 1988, until December 31, 1993. After eliminating same sex couples as was done by other researchers using the same data set (it concerns a very small number) and duplicate contracts we have been left with a set of 11,454 contracts or couples. We have left out another set of 88 contracts. This concerns couples where at least one of the partners was aged 40 or below. Information about the duration of the relationship has not been provided by the insurer. Of the 11,454 couples, there were 195 couples where both lives died during the observation period, 1,048 couples where the male died and the female survived during the period, 255 couples where the female died and the male survived and 9,956 couples where both survived.

We have applied an extended multiple state model comprising a total of six states: a) “Both partners alive”, b) “Woman alive, partner died less than a year ago”; c) “Woman alive, partner died more than a year ago”; d) “Man alive, partner died less than a year ago”; e) “Man alive, partner died more than a year ago”; f) “Both lives dead”.

We have used a proportional hazards specification, which means that for each of the states a), b), c), d) and e), the force of mortality for a man or woman (whichever applies) acts multiplicatively on a certain baseline force of mortality. The baseline force of mortality represents the mortality of an average man or woman, respectively.

Both the baseline forces of mortality for man and woman have been assumed to follow the Gompertz law. After estimation of the parameters of the Gompertz distribution, the multiplication factors as above have been estimated through Maximum Likelihood. The estimation of the factors pertaining to state b), c), d) and e) has been based on the age of entry intervals [65, 85] for males and [60, 80] for females, as these intervals contain the largest proportion of bereaved lives.

Cass Business School

Cass Business School, City University, delivers innovative, relevant and forward-looking education, training, consultancy and research. Located on the doorstep of one of the world's leading financial centres, Cass is perfectly positioned to be the intellectual hub of the City of London. Our dialogue with business shapes the structure and content of all our programmes of study, our executive education programmes and our research. Our MBA, Specialist Masters and Undergraduate Programmes have a reputation for excellence in professional education. Our Executive MBA is ranked 15th in the world by the Financial Times.

The school undertakes research of national and international significance and supports almost 100 PhD students. Cass has the largest Finance Faculty and the largest Actuarial Science & Insurance Faculty in Europe. Our finance research is ranked 2nd in Europe and 4th in the World outside the US by Financial Management Magazine and our insurance and risk research is ranked 2nd in the world by the Journal of Risk and Insurance. Within Cass, CassExec has been creating and delivering executive education to the world of business for more than 15 years. The disciplines we cover range from finance and insurance through to leadership, corporate governance and risk. At the heart of our success is the importance we place on working in partnership with our clients to construct bespoke programmes that truly meet their business needs.

Cass is a place where students, academics, industry experts, business leaders and policy makers can enrich each other's thinking. For further information visit: www.cass.city.ac.uk