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

DOI10.1017/asb.2015.21zbMath1390.91174OpenAlexW2427101339MaRDI QIDQ4563765

Helena Chuliá, Jorge M. Uribe, Montserrat Guillen

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/40f10f515f3110d987a0a1729e28d360ddb68c2f

zbMATH Keywords

value-at-risklongevityfactor modelsmortality forecastingvine-copulae

Mathematics Subject Classification ID

Related Items (6)

SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH ⋮ COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS ⋮ Modelling mortality dependence: an application of dynamic vine copula ⋮ ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION

Uses Software

• QRM
• MARSS

Cites Work

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