The dependency premium based on a multifactor model for dependent mortality data
D'Amato, V., Haberman, S. & Piscopo, G. (2017). The dependency premium based on a multifactor model for dependent mortality data. Communications in Statistics - Theory and Methods, 48(1), pp. 50-61. 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 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: | Bayes Business School > Actuarial Science & Insurance |
| SWORD Depositor: |
Download (1MB) | Preview
Export
Downloads
Downloads per month over past year
Metadata
MetadataActions (login required)
Admin Login