Modeling longevity risk with generalized dynamic factor models and vine-copulae
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20160023947 | ||
| 003 | MAP | ||
| 005 | 20160805121224.0 | ||
| 008 | 160804e20160101usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20160009736$aChuliá, Helena | |
| 245 | 1 | 0 | $aModeling longevity risk with generalized dynamic factor models and vine-copulae$cHelena Chuliá, Montserrat Guillén, Jorge M. Uribe |
| 520 | $aThis 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 | ||
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080580377$aEsperanza de vida | |
| 650 | 4 | $0MAPA20080592059$aModelos predictivos | |
| 650 | 4 | $0MAPA20090035034$aModelización mediante cópulas | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080599300$aTablas de mortalidad | |
| 650 | 4 | $0MAPA20080574079$aTasa del riesgo | |
| 651 | 1 | $0MAPA20080638290$aReino Unido | |
| 700 | 1 | $0MAPA20080244637$aGuillén, Montserrat | |
| 700 | 1 | $0MAPA20160009743$aUribe, Jorge M. | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 165-190 |