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

MAP20160023947

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

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

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. 165-190

1. Longevidad . 2. Esperanza de vida . 3. Modelos predictivos . 4. Modelización mediante cópulas . 5. Cálculo actuarial . 6. Modelos actuariales . 7. Mortalidad . 8. Tablas de mortalidad . 9. Tasa del riesgo . 10. Reino Unido . I. Guillén, Montserrat . II. Uribe, Jorge M. . III. Título.