Carregant...
Fitxers
Tipus de document
ArticleVersió
Versió publicadaData de publicació
Tots els drets reservats
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/107211
Modeling longevity risk with generalized dynamic factor models and vine-copulae
Títol de la revista
Director/Tutor
ISSN de la revista
Títol del volum
Recurs relacionat
Resum
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
Matèries
Citació
Citació
CHULIÁ SOLER, Helena, GUILLÉN, Montserrat, URIBE GIL, Jorge mario. Modeling longevity risk with generalized dynamic factor models and vine-copulae. _ASTIN Bulletin _. 2016. Vol. 46, núm. 1, pàgs. 165-190. [consulta: 25 de gener de 2026]. ISSN: 0515-0361. [Disponible a: https://hdl.handle.net/2445/107211]