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Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions

Listed author(s):
  • Helena Chuliá

    ()

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Montserrat Guillén

    ()

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Jorge M. Uribe

    ()

    (Facultad de Ciencias Sociales y Economicas, Universidad del Valle)

We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses Generalized Dynamic Factor Models fitted over the differences of the log-mortality rates. We compare prediction performance with models previously proposed in the literature, such as the traditional Static Factor Model fitted over the level of log-mortality rates. We also construct risk measures by the means of vinecopulae simulations, taking into account the dependence between the idiosyncratic components of the mortality rates. The methodology is implemented to project the mortality rates of the United Kingdom, for which we consider a portfolio and study longevity and mortality risks.

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File URL: http://www.ub.edu/rfa/research/WP/UBriskcenterWP201503.pdf
File Function: First version, 2015
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Paper provided by Universitat de Barcelona, UB Riskcenter in its series Working Papers with number 2015-03.

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Length: 30 pages
Date of creation: Mar 2015
Handle: RePEc:bak:wpaper:201503
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