Modeling longevity risk with generalized dynamic factor models and vine-copulae. (English) Zbl 1390.91174

Summary: 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.


91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)


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