Constructing dynamic life tables with a single-factor model
The paper focuses on one of the crucial risks in insurance industry, that is the mortality risk. In particular, a single-factor model is presented in order to depict the dynamics of all mortality rates. After introducing the model, where the selected factor is the mortality rate at the key age, and its practical characterization, some classical mortality models are considered and calibrated. On the basis of these classical models, specific benchmarks are obtained, to be compared with the single-factor model. Then, an empirical application for males and females in France and Spain is presented and the results are compared with those generated by other factor models. Finally, some ideas concerning risk management problems are discussed.
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