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The dependency premium based on a multifactor model for dependent mortality data

D'Amato, V., Haberman, S. and Piscopo, G. (2017). The dependency premium based on a multifactor model for dependent mortality data. Communications in Statistics - Theory and Methods, doi: 10.1080/03610926.2017.1366523

Abstract

As shown in the literature, the dependence structure in mortality data cannot be ignored in projecting future trends, in particular for a group of similar populations characterized by common long run relationships. We propose a new multifactor model for capturing common and specific features of the trend over time. We implement the model and investigate its impact on actuarial valuations, through the introduction of the concept of the dependency premium.

Publication Type: Article
Additional Information: This is an Accepted Manuscript of an article to be published by Taylor & Francis in Communications in Statistics - Theory and Methods, available online: https://doi.org/10.1080/03610926.2017.1366523
Publisher Keywords: longevity risk, coherent mortality forecasts, dependence
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/17954
[img] Text - Accepted Version
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