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    Modelling Mortality Dependence: An Application of Dynamic Vine Copula

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    Author
    Zhou, R; Ji, M
    Date
    2021
    Source Title
    Insurance: Mathematics and Economics
    Publisher
    Elsevier
    University of Melbourne Author/s
    Zhou, Rui
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    Zhou, R. & Ji, M. (2021). Modelling Mortality Dependence: An Application of Dynamic Vine Copula. Insurance: Mathematics and Economics, Forthcoming
    Access Status
    This item is embargoed and will be available on 2022-09-30
    URI
    http://hdl.handle.net/11343/258904
    Abstract
    Vine copula, constructed from bivariate copulas, provides great exibility in modelling complex high-dimensional dependence. When applied to multi- population mortality modelling, vine copula yields signi_cant improvement over traditional multivariate copulas. In this paper, we propose to capture time- varying features in mortality dependence with dynamic regular vine (R-vine) copula which is built from bivariate copulas with time-varying dependence pa- rameters. We develop two dependence dynamics for R-vine copulas and illustrate the selection and estimation of dynamic R-vine copulas using mortality data from eight populations. The estimated R-vine copulas using the proposed dependence dynamics are shown to yield better goodness of _t than both static and regime- switching vine copulas. We further demonstrate the simulation of mortality paths using dynamic R-vine copulas and examine the impact of vine copula choice on the assessed e_ectiveness of longevity hedge.

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