Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/97862
Title: Mortality and longevity risks in the United Kingdom: Dynamic factor models and copula-functions
Author: Chuliá Soler, Helena
Guillén, Montserrat
Uribe, Jorge M.
Keywords: Longevitat
Mortalitat
Risc (Economia)
Longevity
Mortality
Risk
Issue Date: 2015
Publisher: Universitat de Barcelona. Riskcenter
Abstract: We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses Generalized Dynamic Factor Models fitted over the differences of the log-mortality rates. We compare prediction performance with models previously proposed in the literature, such as the traditional Static Factor Model fitted over the level of log-mortality rates. We also construct risks measures by the means of vine-copula simulations, taking into account the dependence between the idiosyncratic components of the mortality rates. The methodology is implemented to project the mortality rates of the United Kingdom, for which we consider a portfolio and study longevity and mortality risks.
Note: Reproducció del document publicat a: http://www.ub.edu/riskcenter/research/WP/UBriskcenterWP201503.pdf
It is part of: UB Riskcenter Working Paper Series, 2015/03
URI: http://hdl.handle.net/2445/97862
Appears in Collections:UB RISKCENTER – Working Papers Series

Files in This Item:
File Description SizeFormat 
Risk15-03_Chulia.pdf1.78 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons