Modeling longevity risk with generalized dynamic factor models and vine-copulae
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Cites work
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A PANIC attack on unit roots and cointegration.
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Age-specific copula-AR-GARCH mortality models
- Application of the Poisson log-bilinear projection model to the G5 mortality experience
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- COINTEGRATION AND COMMON FACTORS
- Consistent factor estimation in dynamic factor models with structural instability
- Detecting common longevity trends by a multiple population approach
- Determining the Number of Factors in Approximate Factor Models
- Distribution-free continuous Bayesian belief nets
- Forecasting Using Principal Components From a Large Number of Predictors
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Longevity risk in portfolios of pension annuities
- Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
- Modeling and forecasting mortality rates
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
- Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
- Modelling and projecting mortality improvement rates using a cohort perspective
- Modelling dependent data for longevity projections
- Mortality surface by means of continuous time cohort models
- Nonstationary dynamic factor analysis
- On systematic mortality risk and risk-minimization with survivor swaps
- Pair-copula constructions of multiple dependence
- Parametric mortality improvement rate modelling and projecting
- Pension plan valuation and mortality projection: a case study with mortality data
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Rethinking age-period-cohort mortality trend models
- Sharing longevity risk: why governments should issue longevity bonds
- Smoothing and forecasting mortality rates
- Spurious regressions in econometrics
- Statistical analysis of cointegration vectors
- Testing for Common Trends
- The Generalized Dynamic Factor Model
- The generalized dynamic factor model consistency and rates
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Vines -- a new graphical model for dependent random variables.
Cited in
(15)- Modelling mortality dependence: an application of dynamic vine copula
- Age-specific copula-AR-GARCH mortality models
- 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
- A dynamic factor approach to mortality modeling
- Analyzing mortality bond indexes via hierarchical forecast reconciliation
- Mortality risk management under the factor copula framework -- with applications to insurance policy pools
- Mortality forecasts for long-term care subpopulations with longevity risk: a Bayesian approach
- scientific article; zbMATH DE number 7365915 (Why is no real title available?)
- Basis risk modelling: a cointegration-based approach
- Modelling mortality dependence with regime-switching copulas
- Modelling mortality: A bayesian factor-augmented var (favar) approach
- Revisiting key mortality rate models: novel findings and application of CIR processes to describe mortality trends
- Mortality models based on key mortality rates
- Measurement of longevity risk using bootstrapping for Lee-Carter and generalised linear Poisson models of mortality
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