Projecting Mortality Rates to Extreme Old Age with the CBDX Model

Autor:	Kevin Dowd, David Blake
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	mortality rates Cairns–Blake–Dowd mortality model CBDX mortality model projection extreme old age life annuities Science (General) Q1-390 Mathematics QA1-939
Zdroj:	Forecasting, Vol 4, Iss 1, Pp 208-218 (2022)
Druh dokumentu:	article
ISSN:	2571-9394
DOI:	10.3390/forecast4010012
Popis:	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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c3a6dc05d7b7420ab62bbc87e5fc3ed1 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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