Título:
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Modeling longevity risk with generalized dynamic factor models and vine-copulae
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Autor/a:
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Chuliá Soler, Helena; Guillén, Montserrat; Uribe Gil, Jorge Mario
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Otros autores:
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Universitat de Barcelona |
Abstract:
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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 |
Materia(s):
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-Risc (Economia) -Longevitat -Mortalitat -Risk -Longevity -Mortality |
Derechos:
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(c) International Actuarial Association, 2016
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Tipo de documento:
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Artículo Artículo - Versión publicada |
Editor:
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Cambridge University Press
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Compartir:
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