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

Sweeting, Paul and Zhao, Yiwei (2012) Modelling the cohort effect in CBD models using a piecewise linear approach. Discussion paper. Pensions Institute

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Abstract

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.

Item Type: Monograph (Discussion paper)
Uncontrolled keywords: Mortality Risk; Stochastic Modelling; Kink points; Cairns-Blake-Dowd; Cohort effects; Linear Functions
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science > Actuarial Science
Depositing User: P. Sweeting
Date Deposited: 08 Apr 2015 12:56 UTC
Last Modified: 29 May 2019 14:24 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/47893 (The current URI for this page, for reference purposes)
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