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CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family

Published online by Cambridge University Press:  22 June 2020

Kevin Dowd ,
Andrew J. G. Cairns  and
David Blake
Kevin Dowd*
Affiliation:
Durham University Business School, Mill Hill Lane, DurhamDHL 3LB, United Kingdom
Andrew J. G. Cairns
Affiliation:
Maxwell Institute for Mathematical Sciences and Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, EH14 4AS, United Kingdom
David Blake
Affiliation:
Pensions Institute, Cass Business School, City University of London, 106 Bunhill Row, London,EC1Y 8TZ, United Kingdom.
*
*Corresponding author. E-mail: [email protected].
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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.

Keywords

Mortality ratesCairns–Blake–Dowd mortality modelCBDX mortality modelG22G23J11
Type
Paper
Information
Annals of Actuarial Science , Volume 14 , Issue 2 , September 2020 , pp. 445 - 460
Copyright
© Institute and Faculty of Actuaries 2020

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