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

Kevin Dowd, Andrew J. G. Cairns, David Blake

Research output: Contribution to journalArticle

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.
Original languageEnglish
JournalAnnals of Actuarial Science
Early online date22 Jun 2020
DOIs
Publication statusE-pub ahead of print - 22 Jun 2020

Keywords

  • CBDX mortality model
  • Cairns-Blake-Dowd mortality model
  • Mortality rates

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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