Centro de Documentacion de Fundación MAPFRE - Modelling mortality dependence with regime-switching copulas

MAP20190019446

Modelling mortality dependence with regime-switching copulas / Rui Zhou

36 p.

Sumario: We propose a two-regime Markov switching copula to depict the evolution of mortality dependence. One regime represents periods of high dependence and the other regime represents periods of low dependence. Each regime features a regular vine (R-vine) copula that, built on bivariate copulas, provides great flexibility for modelling complex high-dimensional dependence. Our estimated model indicates that the years of recovery from extreme mortality deterioration and the years of health care reform more likely fall into the low regime, while the years in which extreme mortality deteriorating events break out and the peaceful years without major mortality-impacting events more likely fall into the high regime. We use a case study to illustrate how the regime-switching copula can be applied to assess the effectiveness of longevity risk hedge with different beliefs about future mortality dependence evolution incorporated

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2019 Volumen 49 Número 2 - mayo 2019 , p. 373-407

1. Matemática del seguro . 2. Modelo de Markov . 3. Modelos Semi-Markov . 4. Modelización mediante cópulas . 5. Mortalidad . I. Título.