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Title: Modeling longevity risk with generalized dynamic factor models and vine-copulae
Author: Chuliá Soler, Helena
Guillén, Montserrat
Uribe, Jorge M.
Keywords: Risc (Economia)
Issue Date: 2016
Publisher: Cambridge University Press
Abstract: We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses generalized dynamic factor models fitted to the differences in the log-mortality rates. We compare their prediction performance with that of models previously described in the literature, including the traditional static factor model fitted to log-mortality rates. We also construct risk measures using vine-copula simulations, which take into account the dependence between the idiosyncratic components of the mortality rates. The methodology is applied to forecast mortality rates for a population portfolio for the United Kingdom and to estimate longevity and mortality risks
Note: Reproducció del document publicat a:
It is part of: ASTIN Bulletin , 2016, vol. 46, num. 1, p. 165-190
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ISSN: 0515-0361
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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