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

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

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.

Citation

Dowd, K., Cairns, A., & Blake, D. (2020). CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family. Annals of Actuarial Science, 14(2), 445-460. https://doi.org/10.1017/s1748499520000159

• 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