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A Trend-Change Extension of the Cairns-Blake-Dowd Model

Sweeting, Paul (2011) A Trend-Change Extension of the Cairns-Blake-Dowd Model. Annals of Actuarial Science, 5 (2). pp. 143-162. ISSN 1748-4995. (doi:10.1017/S1748499511000017) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:47890)

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This paper builds on the two-factor mortality model known as the Cairns-Blake-Dowd (CBD) model, which is used to project future mortality. It is shown that these two factors do not follow a random walk, as proposed in the original model, but that each should instead be modelled as a random fluctuation around a trend, the trend changing periodically. The paper uses statistical techniques to determine the points at which there are statistically significant changes in each trend. The frequency of change in each trend is then used to project the frequency of future changes, and the sizes of historical changes are used to project the sizes of future changes. The results are then presented as fan charts, and used to estimate the range of possible future outcomes for period life expectancies. These projections show that modelling mortality rates in this way leaves much greater uncertainty over future life expectancy in the long term.

Item Type: Article
DOI/Identification number: 10.1017/S1748499511000017
Uncontrolled keywords: Mortality Risk; Stochastic Modelling; Stochastic Mortality; Mortality Projections; Mortality Trends; Lee-Carter; Cairns-Blake-Dowd
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Paul Sweeting
Date Deposited: 08 Apr 2015 12:36 UTC
Last Modified: 16 Nov 2021 10:19 UTC
Resource URI: (The current URI for this page, for reference purposes)

University of Kent Author Information

Sweeting, Paul.

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