Chuliá Soler, HelenaGuillén, MontserratUribe Gil, Jorge Mario2017-02-212017-02-2120160515-0361https://hdl.handle.net/2445/107211We 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 risks26 p.application/pdfeng(c) International Actuarial Association, 2016Risc (Economia)LongevitatMortalitatRiskLongevityMortalityinfo:eu-repo/semantics/article6586222017-02-21info:eu-repo/semantics/openAccess