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Asymmetric Uncertainty of Mortality and Longevity in the Spanish Population

  • Jorge M. Uribe
  • Helena Chuliá
  • Montserrat Guillén
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 377)

Abstract

Using data of specific mortality rates, discriminating between males and females, we estimate mortality and longevity risks for Spain in a period spanning from 1950 to 2012. We employ Dynamic Factor Models, fitted over the differences of the log-mortality rates to forecast mortality rates and we model the short-run dependence relationship in the data set by means of pair-copula constructions. We also compare the forecasting performance of our model with other alternatives in the literature, such as the well-known Lee-Carter Model. Finally, we provide estimations of risk measures such as VaR and Conditional-VaR for different hypothetical populations, which could be of great importance to assess the uncertainty faced by firms such as pension funds or insurance companies, operating in Spain. Our results indicate that mortality and longevity risks are asymmetric, especially in aged populations of males.

Keywords

Longevity risk Mortality risk Dynamic factor models Copulas 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Jorge M. Uribe
    • 1
  • Helena Chuliá
    • 2
  • Montserrat Guillén
    • 2
  1. 1.Department of EconomicsUniversidad del Valle and University of BarcelonaCaliColombia
  2. 2.Department of EconometricsUniversity of BarcelonaBarcelonaSpain

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