Centro de Documentacion de Fundación MAPFRE - Modeling longevity risk with generalized dynamic factor models and vine-copulae

Notas: 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 risksRegistros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 165-190Materia / lugar / evento: Longevidad Esperanza de vida Modelos predictivos Modelización mediante cópulas Cálculo actuarial Modelos actuariales Mortalidad Tablas de mortalidad Tasa del riesgo Reino Unido Otros autores: Guillén, Montserrat
Uribe, Jorge M.
Otras clasificaciones: 6

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