Alternative methods of estimating the longevity risk
Bolancé Losilla, Catalina
Guillén, Montserrat
Ornelas Vargas, Arelly
Xarxa de Referència en Economia Aplicada (XREAP)

Imprint: Xarxa de Referència en Economia Aplicada (XREAP) 2018
Description: 37 p.
Abstract: The aim of this paper is to estimate the longevity rsk and its trend according to the age of the individual. We focus on individuals over 65. We use the value-at-risk to measure the longevity risk. We have proposed the use of an alternative methodology based on the estimation of the truncated cumulative distribution function and the quantiles. We apply a robust estimation method for fitting parametric distributions. Finally, we compare parametric and nonparametric estimations of longevity risk.
Language: Anglès.
Series: Xarxa de Referència en Economia Aplicada (XREAP): Documents de treball de la Xarxa de Referència en Economia Aplicada (XREAP)
Series: XREAP ; 2018-05
Document: workingPaper
Subject: Avaluació del risc ; Estadística no paramètrica ; Longevitat ; Risk assessment ; Nonparametric statistics ; Longevity

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 Record created 2019-01-22, last modified 2019-01-26

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