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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… Click to show full abstract
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.
Keywords:
model;
dependency premium;
multifactor model;
mortality data
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2019
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Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!