In this paper, we propose a simple dynamic mortality model to fit and forecast mortality rates for measuring longevity and mortality risks. This proposal is based on a methodology for modelling interest rates, which assumes that changes in spot interest rates depend linearly on a small number of factors. These factors are identified as interest rates with a given maturity. Similarly, we assume that changes in mortality rates depend linearly on changes in a specific mortality rate, which we call the key mortality rate. One of the main advantages of this model is that it allows the development of an easy to implement methodology to measure longevity and mortality risks using simulation techniques. Particularly, we employ the model to calculate the Value-at-Risk and Conditional-Value-at-Risk of an insurance product testing the accuracy and robustness of our proposal using out-of-sample data from six different populations.

中文翻译：

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衡量人寿保险产品长寿风险的简化模型

在本文中，我们提出了一个简单的动态死亡率模型来拟合和预测死亡率，以衡量寿命和死亡风险。该提议基于利率建模方法，该方法假设即期利率的变化线性取决于少数因素。这些因素被确定为给定期限的利率。同样，我们假设死亡率的变化线性依赖于特定死亡率的变化，我们将其称为关键死亡率。该模型的主要优点之一是它允许开发一种易于实施的方法来使用模拟技术来衡量寿命和死亡风险。特别是，我们使用该模型来计算保险产品的风险价值和条件风险价值，并使用来自六个不同人群的样本外数据来测试我们建议的准确性和稳健性。