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Projecting Mortality Rates to Extreme Old Age with the CBDX Model

Dowd, Kevin; Blake, David

Projecting Mortality Rates to Extreme Old Age with the CBDX Model Thumbnail


Authors

David Blake



Abstract

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.

Journal Article Type Article
Acceptance Date Jan 27, 2022
Online Publication Date Feb 2, 2022
Publication Date 2022
Deposit Date Jun 16, 2022
Publicly Available Date Jun 16, 2022
Journal Forecasting
Publisher MDPI
Peer Reviewed Peer Reviewed
Volume 4
Issue 1
Pages 208-218
DOI https://doi.org/10.3390/forecast4010012
Public URL https://durham-repository.worktribe.com/output/1200701

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Published Journal Article (2.9 Mb)
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Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/

Copyright Statement
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited






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