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http://hdl.handle.net/2445/107211
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DC Field | Value | Language |
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dc.contributor.author | Chuliá Soler, Helena | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Uribe Gil, Jorge Mario | - |
dc.date.accessioned | 2017-02-21T16:29:43Z | - |
dc.date.available | 2017-02-21T16:29:43Z | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 0515-0361 | - |
dc.identifier.uri | http://hdl.handle.net/2445/107211 | - |
dc.description.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 | - |
dc.format.extent | 26 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Cambridge University Press | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.1017/asb.2015.21 | - |
dc.relation.ispartof | ASTIN Bulletin , 2016, vol. 46, num. 1, p. 165-190 | - |
dc.relation.uri | https://doi.org/10.1017/asb.2015.21 | - |
dc.rights | (c) International Actuarial Association, 2016 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Longevitat | - |
dc.subject.classification | Mortalitat | - |
dc.subject.other | Risk | - |
dc.subject.other | Longevity | - |
dc.subject.other | Mortality | - |
dc.title | Modeling longevity risk with generalized dynamic factor models and vine-copulae | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 658622 | - |
dc.date.updated | 2017-02-21T16:29:43Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
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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