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

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Chuliá, Helena</dc:creator>
<dc:creator>Guillén, Montserrat</dc:creator>
<dc:creator>Uribe, Jorge M.</dc:creator>
<dc:date>2016-01-01</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/157213.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Esperanza de vida</dc:subject>
<dc:subject xml:lang="es">Modelos predictivos</dc:subject>
<dc:subject xml:lang="es">Modelización mediante cópulas</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Tablas de mortalidad</dc:subject>
<dc:subject xml:lang="es">Tasa del riesgo</dc:subject>
<dc:subject xml:lang="es">Reino Unido</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Modeling longevity risk with generalized dynamic factor models and vine-copulae</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
<dc:coverage xml:lang="es">Reino Unido</dc:coverage>
</rdf:Description>
</rdf:RDF>