Year 2012,
Volume: 4 Issue: 1, 119 - 128, 01.06.2012
Abstract
Mortality and longevity risk is usually one of the main risk components in
economic capital models of insurance companies. Above all, future mortality
expectations are an important input in the modeling and pricing of long term
products. Deviations from the expectation can lead insurance company even to
default if sufficient reserves and capital is not held. Thus, Modeling of mortality
time series accurately is a vital concern for the insurance industry. The aim of this
study is to perform distributional and spectral testing to the mortality data and
practiced discrete and continuous time modeling. We believe, the results and the
techniques used in this study will provide a basis for Value at Risk formula in
case of mortality.
References
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- Kleiber, C., Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial
- Sciences, John Wiley & Sons, Inc., New Jersey
Year 2012,
Volume: 4 Issue: 1, 119 - 128, 01.06.2012
Abstract
References
- HMD, UK Life Tables, http://www.mortality.org/hmd/GBR_NP/STATS/bltper_1x1.txt, Access 05.01.2012]
- EIOPA (2011), “EIOPA Report on the fifth Quantitative Impact Study (QIS 5) for Solvency II”
- Applebaum, D. (2011), Lecture given at Koç University on Levy Process
- Hannan, E. J., Rissanen J. (1982), “Recursive Estimation of Mixed Autoregressive-Moving
- Average Order”, Biometrika, Vol. 69, No. 1, pp. 81-94
- Müller, G., Durand, R., Maller, R., Klüppelberg, C., “Analysis of stock market volatility by continuous-time GARCH models”, Stock Market Volatility, Chapman Hall/Taylor and Francis, London, pp. 31 50, 2009
- Nelson, Daniels B. (1990), “ARCH Models as Diffusion Approximation”, Journal of Econometrics, Vol. 45, pp.7-38.
- Duan, J. C. (1997), “Augmented GARCH (p,q) Process and Its Diffusion Limit”, Journal of Econometrics, Vol. 79, pp.97-127.
- Bollerslev, T. (1986), “Generalized Autoregressive Conditionally Heteroscedasticity”, Journal of Econometrics, Vol. 31, pp.307-327.
- Kleiber, C., Kotz, S. (2003), Statistical Size Distributions in Economics and Actuarial
- Sciences, John Wiley & Sons, Inc., New Jersey
There are 11 citations in total.
Details
| Other ID | JA38YE26VA |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | June 1, 2012 |
| Published in Issue | Year 2012 Volume: 4 Issue: 1 |