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|Title:||Modeling longevity risk with generalized dynamic factor models and vine-copulae|
|Author:||Chuliá Soler, Helena|
Uribe, Jorge M.
|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: https://doi.org/10.1017/asb.2015.21|
|It is part of:||ASTIN Bulletin , 2016, vol. 46, num. 1, p. 165-190|
|Appears in Collections:||Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)|
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