Modelling the cohort effect in CBD models using a piecewise linear approach

This paper discusses a new pattern of mortality model which is built on the form and

knowledge of the two-factor mortality model named after its designers Cairns, Blake and

Dowd (2006). This model – the CBD model – is widely used and has been extended by the

authors in a number of ways, including by the use of a cohort effect. In this paper, we

propose a range of new parsimonious approaches to model the cohort effect. Instead of

adding a cohort factor to an age-period model we model the effect by building

discontinuities into the pattern of rates within each year. The fit of the resulting models is

close to that available from the best of the CBD derivatives.