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Modeling period effects in multi-population mortality models : applications to Solvency II
Recurso electrónico / electronic resource
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24500‎$a‎​Modeling period effects in multi-population mortality models‎$b‎​: applications to Solvency II‎$c‎​Rui Zhou...[et.al]
520  ‎$a‎​Recently Cairns et al. introduced a general framework for modeling the dynamics of mortality rates of two related populations simultaneously. Their method ensures that the resulting forecasts do not diverge over the long run by modeling the difference in the stochastic factors between the two populations with a mean-reverting autoregressive process. In this article, we investigate how the modeling of the stochastic factors may be improved by using a vector error correction model. This extension is highly intuitive, allowing us to visualize the cross-correlations and the long-term equilibrium relation between the two populations. Another key benefit is that this extension does not require the user to assume which one of the two populations is dominant. This benefit is important because, as we demonstrate, it is not always easy to identify the dominant population, even if one population is much larger than the other. We illustrate our proposed extension with data from a pair of populations and apply it to the calculation of Solvency II risk capital.
650 4‎$0‎​MAPA20080592059‎$a‎​Modelos predictivos ‌
650 4‎$0‎​MAPA20080555306‎$a‎​Mortalidad ‌
650 4‎$0‎​MAPA20080564254‎$a‎​Solvencia II ‌
650 4‎$0‎​MAPA20080586447‎$a‎​Modelo estocástico ‌
650 4‎$0‎​MAPA20080602437‎$a‎​Matemática del seguro ‌
700  ‎$0‎​MAPA20110028855‎$a‎​Zhou, Rui ‌
7730 ‎$w‎​MAP20077000239‎$t‎​North American actuarial journal‎$d‎​Schaumburg : Society of Actuaries, 1997-‎$x‎​1092-0277‎$g‎​03/02/2014 Tomo 18 Número 1 - 2014 , p. 150-167