Basis risk modelling: a cointegration-based approach

DOI10.1080/02331888.2016.1259806MaRDI QIDQ5276179zbMATH OpenOpenAlexFDO

Authors Yahia Salhi, Stéphane Loisel

Publication date 14 July 2017

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2016.1259806

zbMATH Keywords

basis riskcointegrationlongevity riskmultivariate approachnational and insured mortality ratesrobustnesstime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

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Cites work

• A gravity model of mortality rates for two related populations
• A multivariate time series approach to projected life tables
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Lee-Carter mortality forecasting with age-specific enhancement.
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Measuring Basis Risk in Longevity Hedges
• Modeling and management of mortality risk: a review
• Statistical analysis of cointegration vectors
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Understanding, modelling and managing longevity risk: key issues and main challenges

Cited in

(10)

• Do actuaries believe in longevity deceleration?
• Cause-specific mortality rates: common trends and differences
• Forecasting mortality with international linkages: a global vector-autoregression approach
• Forecasting mortality rate improvements with a high-dimensional VAR
• Pitfalls and merits of cointegration-based mortality models
• China's population mortality prediction based on the cointegration theory
• Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach
• Mortality forecasting with a spatially penalized smoothed VAR model
• Modeling period effects in multi-population mortality models: applications to Solvency II
• Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model

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