Age-specific copula-AR-GARCH mortality models

DOI10.1016/j.insmatheco.2014.12.007zbMath1314.91143OpenAlexW2041306723MaRDI QIDQ2347102

Cary Chi-Liang Tsai, Chou-Wen Wang, Tzuling Lin

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.12.007

zbMATH Keywords

copulaLee-Carter modelmortality dependencestochastic mortality modelAR-GARCH

Mathematics Subject Classification ID

Related Items (13)

MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE ⋮ Model mortality rates using property and casualty insurance reserving methods ⋮ Incorporating the Bühlmann credibility into mortality models to improve forecasting performances ⋮ Forecasting short-term mortality trends using Bernstein polynomials ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary ⋮ A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS ⋮ Modelling mortality dependence: an application of dynamic vine copula ⋮ ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION ⋮ Incorporating hierarchical credibility theory into modelling of multi-country mortality rates ⋮ Correlated age-specific mortality model: an application to annuity portfolio management

Uses Software

• Dynamic Copula Toolbox

Cites Work

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