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Asymmetric Uncertainty of Mortality and Longevity in the Spanish Population

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Scientific Methods for the Treatment of Uncertainty in Social Sciences

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 377))

Abstract

Using data of specific mortality rates, discriminating between males and females, we estimate mortality and longevity risks for Spain in a period spanning from 1950 to 2012. We employ Dynamic Factor Models, fitted over the differences of the log-mortality rates to forecast mortality rates and we model the short-run dependence relationship in the data set by means of pair-copula constructions. We also compare the forecasting performance of our model with other alternatives in the literature, such as the well-known Lee-Carter Model. Finally, we provide estimations of risk measures such as VaR and Conditional-VaR for different hypothetical populations, which could be of great importance to assess the uncertainty faced by firms such as pension funds or insurance companies, operating in Spain. Our results indicate that mortality and longevity risks are asymmetric, especially in aged populations of males.

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Author information

Authors and Affiliations

  1. Department of Economics, Universidad del Valle and University of Barcelona, Calle 13 # 100-00, Cali, Colombia

    Jorge M. Uribe

  2. Department of Econometrics, University of Barcelona, Av. Diagonal 690, 08034, Barcelona, Spain

    Helena Chuliá & Montserrat Guillén

Authors
  1. Jorge M. Uribe
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  2. Helena Chuliá
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  3. Montserrat Guillén
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Corresponding author

Correspondence to Jorge M. Uribe .

Editor information

Editors and Affiliations

  1. Royal Academy of Economic and Financial Sciences (RACEF), Barcelona, Spain

    Jaime Gil-Aluja

  2. Department of Business Management, Universitat Rovira i Virgili Faculty of Business and Economics, Reus, Spain

    Antonio Terceño-Gómez

  3. Department of Business Administration, University of Girona, Girona, Spain

    Joan Carles Ferrer-Comalat

  4. Department of Management Control and Information Systems, University of Chile, Santiago, Chile

    José M. Merigó-Lindahl

  5. Department of Business Administration, University of Girona, Girona, Spain

    Salvador Linares-Mustarós

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Uribe, J.M., Chuliá, H., Guillén, M. (2015). Asymmetric Uncertainty of Mortality and Longevity in the Spanish Population. In: Gil-Aluja, J., Terceño-Gómez, A., Ferrer-Comalat, J., Merigó-Lindahl, J., Linares-Mustarós, S. (eds) Scientific Methods for the Treatment of Uncertainty in Social Sciences. Advances in Intelligent Systems and Computing, vol 377. Springer, Cham. https://doi.org/10.1007/978-3-319-19704-3_23

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  • DOI: https://doi.org/10.1007/978-3-319-19704-3_23

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-19703-6

  • Online ISBN: 978-3-319-19704-3

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