Basis risk modelling: a cointegration-based approach

DOI10.1080/02331888.2016.1259806zbMath1369.62285OpenAlexW2205117154MaRDI QIDQ5276179

Yahia Salhi, Stéphane Loisel

Publication date: 14 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1259806

zbMATH Keywords

robustnesstime seriescointegrationlongevity riskbasis riskmultivariate approachnational and insured mortality rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

Related Items

Do actuaries believe in longevity deceleration? ⋮ Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach ⋮ Forecasting mortality with international linkages: a global vector-autoregression approach ⋮ MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL ⋮ Forecasting mortality rate improvements with a high-dimensional VAR ⋮ Cause-specific mortality rates: common trends and differences ⋮ Pitfalls and merits of cointegration-based mortality models ⋮ Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model

Cites Work

• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Statistical analysis of cointegration vectors
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Modelling and management of mortality risk: a review
• A Gravity Model of Mortality Rates for Two Related Populations
• Measuring Basis Risk in Longevity Hedges
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• A multivariate time series approach to projected life tables