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

Autor:	Kevin Dowd, Andrew J. G. Cairns, David Blake
Rok vydání:	2020
Předmět:	Statistics and Probability HD Economics and Econometrics Mortality model Maximum likelihood Residual HG Adult age Cohort effect Statistics Range (statistics) Identifiability Period effects Statistics Probability and Uncertainty Mathematics
Zdroj:	Annals of Actuarial Science Annals of actuarial science, 2020, Vol.14(2), pp.445-460 [Peer Reviewed Journal]
ISSN:	1556-5068
DOI:	10.2139/ssrn.3552249
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a4c35218cd0ca39e7c13ce027db4449a https://doi.org/10.2139/ssrn.3552249 Zobrazit plný text záznamu