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Articles Articles Modeling longevity risk with generalized dynamic factor models and vine-copulae - Chuliá, Helena

Collection: Articles

Title: Modeling longevity risk with generalized dynamic factor models and vine-copulae / Helena Chuliá, Montserrat Guillén, Jorge M. Uribe

Notes: Sumario: This paper presents 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. It compares their prediction performance with that of models previously described in the literature, including the traditional static factor model fitted to log-mortality rates. It also constructs 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 UK and to estimate longevity and mortality risks

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