Alternative methods of estimating the longevity risk

Catalina Bolancé (), Montserrat Guillén () and Arelly Ornelas ()
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Catalina Bolancé: RISKCENTER-IREA, Department of Econometrics, Statistics and Applied Economics, Universitat de Barcelona
Montserrat Guillén: RISKCENTER-IREA, Department of Econometrics, Statistics and Applied Economics, Universitat de Barcelona
Arelly Ornelas: RISKCENTER-IREA, Department of Econometrics, Statistics and Applied Economics, Universitat de Barcelona

No XREAP2018-5, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

Abstract: The aim of this paper is to estimate the longevity risk and its trend according to the age of the individual. We focus on individuals over 65. We use the value-at-risk to measure the longevity risk. We have proposed the use of an alternative methodology based on the estimation of the truncated cumulative distribution function and the quantiles. We apply a robust estimation method for fitting parametric distributions. Finally, we compare parametric and nonparametric estimations of longevity risk.

Keywords: Longevity; value-at-risk; nonparametric inference. (search for similar items in EconPapers)
Pages: 37 pages
Date: 2018-10, Revised 2018-10
New Economics Papers: this item is included in nep-age, nep-ecm and nep-rmg
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http://www.xreap.cat/RePEc/xrp/pdf/XREAP2018-05.pdf First version, 2018 (application/pdf)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2018-05.pdf Revised version, 2018 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:xrp:wpaper:xreap2018-5

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