Modeling longevity risk with generalized dynamic factor models and vine-copulae
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 litera...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/107211 |
| Acceso en línea: | https://hdl.handle.net/2445/107211 |
| Access Level: | acceso abierto |
| Palabra clave: | Risc (Economia) Longevitat Mortalitat Risk Longevity Mortality |
| Sumario: | 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 |
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