Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/107211
Title: | Modeling longevity risk with generalized dynamic factor models and vine-copulae |
Author: | Chuliá Soler, Helena Guillén, Montserrat Uribe Gil, Jorge Mario |
Keywords: | Risc (Economia) Longevitat Mortalitat Risk Longevity Mortality |
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: https://doi.org/10.1017/asb.2015.21 |
It is part of: | ASTIN Bulletin , 2016, vol. 46, num. 1, p. 165-190 |
URI: | http://hdl.handle.net/2445/107211 |
Related resource: | https://doi.org/10.1017/asb.2015.21 |
ISSN: | 0515-0361 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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658622.pdf | 1.03 MB | Adobe PDF | View/Open |
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