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Risk15-03_Chulia.pdf (1.74 MB)

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Working paper

Publication date

2015

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cc-by-nc-nd, (c) Chuliá Soler et al., 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/97862

Mortality and longevity risks in the United Kingdom: Dynamic factor models and copula-functions

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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.

Subject

Longevitat, Mortalitat, Risc (Economia)

Subject (English)

Longevity, Mortality, Risk

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UB RISKCENTER – Working Papers Series

Citation

CHULIÁ SOLER, Helena, GUILLÉN, Montserrat and URIBE GIL, Jorge Mario. Mortality and longevity risks in the United Kingdom: Dynamic factor models and copula-functions. UB Riskcenter Working Paper Series. 2015/03. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/97862

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