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Alternative methods of estimating the longevity risk

Author

Listed:
  • 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)

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.

Suggested Citation

  • Catalina Bolancé & Montserrat Guillén & Arelly Ornelas, 2018. "Alternative methods of estimating the longevity risk," Working Papers XREAP2018-5, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2018.
    • Handle: RePEc:xrp:wpaper:xreap2018-5
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    File Function: First version, 2018
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    File URL: http://www.xreap.cat/RePEc/xrp/pdf/XREAP2018-05.pdf
    File Function: Revised version, 2018
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    More about this item

    Keywords

    Longevity; value-at-risk; nonparametric inference.;
    All these keywords.

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