Constructing dynamic life tables with a single-factor model
type: Item
instance of: scholarly article
title: Constructing dynamic life tables with a single-factor model
zbMATH Open document ID: 1468.91120
author: David Atance
author: Eliseo Navarro
author: Alejandro Balbás
published in: Decisions in Economics and Finance
publication date: 2021-05-19T00:00:00Z
review text: The paper focuses on one of the crucial risks in insurance industry, that is the mortality risk. In particular, a single-factor model is presented in order to depict the dynamics of all mortality rates. After introducing the model, where the selected factor is the mortality rate at the key age, and its practical characterization, some classical mortality models are considered and calibrated. On the basis of these classical models, specific benchmarks are obtained, to be compared with the single-factor model. Then, an empirical application for males and females in France and Spain is presented and the results are compared with those generated by other factor models. Finally, some ideas concerning risk management problems are discussed.
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91D20
zbMATH DE Number: 7349867
zbMATH Keywords: dynamic life table
zbMATH Keywords: key mortality rate
zbMATH Keywords: mortality
zbMATH Keywords: forecasting
reviewed by: Emilia Di Lorenzo
describes a project that uses: gnm
describes a project that uses: Forecast
describes a project that uses: StMoMo
describes a project that uses: R
describes a project that uses: forecast
describes a project that uses: Human Mortality
MaRDI profile type: Publication
full work available at URL: s10203-020-00308-5
OpenAlex ID: W2986485928
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DOI: 10.1007/S10203-020-00308-5
description: scientific article; zbMATH DE number 7349867