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Modeling longevity risk with generalized dynamic factor models and vine-copulae

 
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<title>Modeling longevity risk with generalized dynamic factor models and vine-copulae</title>
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<namePart>Chuliá, Helena</namePart>
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<namePart>Guillén, Montserrat</namePart>
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<namePart>Uribe, Jorge M.</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Helena Chuliá, Montserrat Guillén, Jorge M. Uribe</note>
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<topic>Longevidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080580377">
<topic>Esperanza de vida</topic>
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<topic>Modelos predictivos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090035034">
<topic>Modelización mediante cópulas</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Modelos actuariales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<topic>Tablas de mortalidad</topic>
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<topic>Tasa del riesgo</topic>
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<geographic>Reino Unido</geographic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 165-190</text>
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