Projecting Mortality Rates to Extreme Old Age with the CBDX Model

Dowd, Kevin; Blake, David

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
• 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