Researchers from Simon Fraser University Provide Details of New Studies and Findings in the Area of Insurance Economics (Age-specific copula-AR-GARCH…

Researchers from Simon Fraser University Provide Details of New Studies and Findings in the Area of Insurance Economics (Age-specific copula-AR-GARCH mortality models)

By a News Reporter-Staff News Editor at Insurance Weekly News -- A new study on Insurance Economics is now available. According to news reporting originating in Burnaby, Canada, by VerticalNews journalists, research stated, "In this paper, we propose AR-GARCH (autoregression-generalized autoregressive conditional heteroskedasticity) models to fit and forecast mortality rates for a given age by two alternative approaches. Specifically, one approach is to fit a time series of mortality rates for some age to an AR(n)-GARCH(1, 1) model, and project the mortality rate for that age in the next nth year; the other is to fit an AR(1)GARCH(1, 1) model, and project the mortality rates recursively for the age in the next consecutive years."

The news reporters obtained a quote from the research from Simon Fraser University, "Further, we employ the copula method to capture the inter-age mortality dependence. Adopting mortality data of japan, the UK, and the USA, we demonstrate that it is indispensable to consider the conditional heteroskedasticity in our mortality models which provide better performances in out-of-sample projection and prediction intervals with a higher degree of coverage than the Lee Carter model."

According to the news reporters, the research concluded: "Finally, we numerically illustrate with mortality data of japan that VaR (Value at Risk) values for longevity risk, regarded as additional reserves for annuity or pension providers, will be overestimated if the conditional heteroskedasticity or/and the inter-age mortality dependence structure are ignored."

For more information on this research see: Age-specific copula-AR-GARCH mortality models. Insurance Mathematics & Economics, 2015;61():110-124. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news correspondents report that additional information may be obtained by contacting T.L. Lin, Simon Fraser University, Dept. of Stat & Actuarial Sci, Burnaby, BC V5A 1S6, Canada. Additional authors for this research include C.W. Wang and C.C.L. Tsai.

Keywords for this news article include: Canada, Burnaby, British Columbia, Insurance Economics, North and Central America

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