contribution of the research. In fact this kind of model performance is generally specified in the VaR validation analysis. In this … the forecasting performance is an important aspect to assess the effectiveness of the model, a poor performance … is generally specified in the VaR validation analysis. Recently, Dowd et al. have proposed it for verifying the goodness …

Purpose – Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can … management tool and to quantify its effectiveness in hedging against changes in mortality with respect to default risk measures … the interaction between assets and liabilities. Systematic mortality risk is considered in two ways. First, systematic …

ages highlighting the benefits from modeling mortality rates as a system in a Vector-Autoregressive (VAR) model and …Longevity risk and the modeling of trends and volatility for mortality improvement have attracted increased attention … mortality using principal components analysis for a number of developed countries including Australia, England, Japan, Norway …

insurance industry and economic development in India. Design/methodology/approach – The study uses the VAR‐VECM model to find …

We present a Bayesian approach to compare models for forecasting mortality rates under the framework of the Lee … results show that the stochastic trend model is most appropriate for forecasting mortality rates both for the normal and the … marginal likelihoods for the model selection. The approach is applied to Japanese male mortality rates from 1970 to 2003. The …

annuity securitization. Future mortality rates with the Lee-Carter-model and use the Wang-transformation to incorporate …