Modeling Multi-population Longevity Risk with Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copula Approach
نویسندگان
چکیده
منابع مشابه
Modeling the Dependence Structure between Bonds and Stocks: A Multidimensional Copula Approach
We apply a copula-GARCH approach to modeling the joint distribution of excess returns of four major assets: one year and ten year Treasury bonds and S&P 500 and Nasdaq indices. We try three approaches in building the multidimensional copula for the dependence structure of multiple variables: (1) n-dimensional normal copula and n-dimensional Students t copula, (2) hierarchical Archimedean copul...
متن کاملCopula-Based Dependence Measures for Under-Five Mortality Rate in Rwanda
The risk of a child dying before completing five years of age is still highest in sub-Saharan Africa region. In this paper, we used the copula based dependence to investigate the association between the under-five mortality rate and Gross Domestic Product in Rwanda from 1981 to 2015. The copula has for a long time been recognized as a powerful tool for modeling dependence between two random var...
متن کاملModeling Longevity Risk with Generalized Dynamic Factor Models and Vine-copulae
We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses generalized dynamic factor models fitted to the differences in the log-mortality rates. We compare their prediction performance with that of models previously described in the literature, including the traditional static factor model fitted to log-mortality rates. We also constr...
متن کاملProperties of Hierarchical Archimedean Copulas
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for tests and constructing ...
متن کاملRank-based methods for modeling dependence between loss triangles
In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss triangle data relating to each of their lines of business. As an inadequate choice of dependence structure may have an undesirable effect on reserve estimation, a two-stage inference strategy is proposed in this paper to assist with model sele...
متن کامل