Professor Kevin Dowd kevin.dowd@durham.ac.uk
Professor
Projecting Mortality Rates to Extreme Old Age with the CBDX Model
Dowd, Kevin; Blake, David
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.
Citation
Dowd, K., & Blake, D. (2022). Projecting Mortality Rates to Extreme Old Age with the CBDX Model. Forecasting, 4(1), 208-218. https://doi.org/10.3390/forecast4010012
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 |
Electronic ISSN | 2571-9394 |
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 |
Files
Published Journal Article
(2.9 Mb)
PDF
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
You might also like
The Experience of Free Banking, 2nd edition
(2023)
Book
An Introduction to Market Risk Measurement.
(2002)
Book
Measuring Market Risk.
(2008)
Book
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search