We analyze the mortality of couples by fitting a multiple state model to a large insurance data set. We find evidence that mortality rates increase after the death of a partner and, in addition, that this phenomenon diminishes over time. This is popularly known as a “broken-heart” effect and we find that it affects widowers more than widows. Remaining lifetimes of joint lives therefore exhibit short-term dependence. We carry out numerical work involving the pricing and valuation of typical contingent assurance contracts and of a joint life and survivor annuity. If insurers ignore dependence, or mis-specify it as long-term dependence, then significant mis-pricing and inappropriate provisioning can result. Detailed numerical results are presented.
