MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE

Helena Chuliá, Montserrat Guillén and Jorge Uribe

ASTIN Bulletin, 2016, vol. 46, issue 1, 165-190

Abstract: We 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. We compare their prediction performance with that of models previously described in the literature, including the traditional static factor model fitted to log-mortality rates. We also construct 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.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:46:y:2016:i:01:p:165-190_00

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