Alternative Methods of Estimating the Longevity Risk

Abstract

The aim of this paper is to estimate the longevity risk 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.