Projecting Mortality Rates to Extreme Old Age with the CBDX Model

Forecasting

Kevin Dowd¹  David Blake² 

[1] Durham Business School, Durham University, Durham DHL 3LB, UK;Pensions Institute, City University of London, 106 Bunhill Row, London EC1Y 8TZ, UK;

关键词: mortality rates;    Cairns–Blake–Dowd mortality model;    CBDX mortality model;    projection;    extreme old age;    life annuities;   

DOI  :  10.3390/forecast4010012

来源: DOAJ

【 摘 要 】

We introduce a simple extension to the CBDX model to project cohort mortality rates to extreme old age. The proposed approach fits a polynomial to a sample of age effects, uses the fitted polynomial to project the age effects to ages beyond the sample age range, then splices the sample and projected age effects, and uses the spliced age effects to obtain mortality rates for the higher ages. The proposed approach can be used to value financial instruments such as life annuities that depend on projections of extreme old age mortality rates.

【 授权许可】

Unknown