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    題名: Modeling Multicountry Longevity Risk with Mortality Dependence: A Levy Subordinated Hierarchical Archimedean Copulas Approach
    作者: 王昭文
    Zhu, Wenjun
    Tan, Ken Seng
    Wang, Chou-Wen
    貢獻者: 風管系
    關鍵詞: Forecast;Modeling;Mortality
    日期: 2017-04
    上傳時間: 2017-08-30 15:28:01 (UTC+8)
    摘要: This article proposes a new copula model known as the Levy subordinated hierarchical Archimedean copulas (LSHAC) for multicountry mortality dependence modeling. To the best of our knowledge, this is the first article to apply the LSHAC model to mortality studies. Through an extensive empirical analysis on modeling mortality experiences of 13 countries, we demonstrate that the LSHAC model, which has the advantage of capturing the geographical structure of mortality data, yields better fit, compared to the elliptical copulas. In addition, the proposed LSHAC model generates out-of-sample forecasts with smaller standard deviations, when compared to other benchmark copula models. The LSHAC model also confirms that there is an association between geographical locations and dependence of the overall mortality improvement. These results yield new insights into future longevity risk management. Finally, the model is used to price a hypothetical survival index swap written on a weighted mortality index. The results highlight the importance of dependence modeling in managing longevity risk and reducing population basis risk.
    關聯: Journal of Risk and Insurance, Special Edition, Vol. 84, 477-493
    資料類型: article
    DOI: http://dx.doi.org/10.1111/jori.12198
    顯示於類別:[風險管理與保險學系 ] 期刊論文

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