کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076320 | 1477212 | 2015 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multi-population mortality models: A factor copula approach
ترجمه فارسی عنوان
مدل های مرگ و میر چند جمعیتی: رویکرد عاملی فاکتور
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کلمات کلیدی
مدل جمعیتی چند جمعیت مخلوط فاکتور، حداکثر اصل آنتروپی، قیمت گذاری ریسک / طول عمر، هدر دادن خطر مرگ و میر / طول عمر،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more related populations converge in the long run. This assumption might be justified by the long-term mortality co-integration and thus be applicable to longevity risk modeling. However, it seems too strong to model the short-term mortality dependence. In this paper, we propose a two-stage procedure based on the time series analysis and a factor copula approach to model mortality dependence for multiple populations. In the first stage, we filter the mortality dynamics of each population using an ARMA-GARCH process with heavy-tailed innovations. In the second stage, we model the residual risk using a one-factor copula model that is widely applicable to high dimension data and very flexible in terms of model specification. We then illustrate how to use our mortality model and the maximum entropy approach for mortality risk pricing and hedging. Our model generates par spreads that are very close to the actual spreads of the Vita III mortality bond. We also propose a longevity trend bond and demonstrate how to use this bond to hedge residual longevity risk of an insurer with both annuity and life books of business.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 63, July 2015, Pages 135-146
Journal: Insurance: Mathematics and Economics - Volume 63, July 2015, Pages 135-146
نویسندگان
Hua Chen, Richard MacMinn, Tao Sun,