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

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20160023947
003  MAP
005  20160805121224.0
008  160804e20160101usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20160009736‎$a‎Chuliá, Helena
24510‎$a‎Modeling longevity risk with generalized dynamic factor models and vine-copulae‎$c‎Helena Chuliá, Montserrat Guillén, Jorge M. Uribe
520  ‎$a‎This 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
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20080580377‎$a‎Esperanza de vida
650 4‎$0‎MAPA20080592059‎$a‎Modelos predictivos
650 4‎$0‎MAPA20090035034‎$a‎Modelización mediante cópulas
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080599300‎$a‎Tablas de mortalidad
650 4‎$0‎MAPA20080574079‎$a‎Tasa del riesgo
651 1‎$0‎MAPA20080638290‎$a‎Reino Unido
7001 ‎$0‎MAPA20080244637‎$a‎Guillén, Montserrat
7001 ‎$0‎MAPA20160009743‎$a‎Uribe, Jorge M.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 165-190