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CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Dowd, K.; Cairns, A.J.G.; Blake, D.

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family Thumbnail


Authors

A.J.G. Cairns

D. Blake



Abstract

The purpose of this paper is to identify a workhorse mortality model for the adult age range (i.e., excluding the accident hump and younger ages). It applies the “general procedure” (GP) of Hunt & Blake [(2014), North American Actuarial Journal, 18, 116–138] to identify an age-period model that fits the data well before adding in a cohort effect that captures the residual year-of-birth effects arising in the original age-period model. The resulting model is intended to be suitable for a variety of populations, but economises on the number of period effects in comparison with a full implementation of the GP. We estimate the model using two different iterative maximum likelihood (ML) approaches – one Partial ML and the other Full ML – that avoid the need to specify identifiability constraints.

Journal Article Type Article
Acceptance Date Jan 21, 2020
Online Publication Date Jun 22, 2020
Publication Date 2020-09
Deposit Date Jan 21, 2020
Publicly Available Date Jan 22, 2020
Journal Annals of Actuarial Science
Print ISSN 1748-4995
Electronic ISSN 1748-5002
Publisher Cambridge University Press
Peer Reviewed Peer Reviewed
Volume 14
Issue 2
Pages 445-460
DOI https://doi.org/10.1017/s1748499520000159
Public URL https://durham-repository.worktribe.com/output/1279153

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