Skip to main content

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 (KAR id:47893)

PDF (Modelling the cohort effect in CBD models using a piecewise linear approach - PI Discussion Paper) Publisher pdf
Language: English
Download (1MB) Preview
[thumbnail of Modelling the cohort effect in CBD models using a piecewise linear approach - PI Discussion Paper]
Preview
This file may not be suitable for users of assistive technology.
Request an accessible format
Official URL
http://www.pensions-institute.org/workingpapers/wp...

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: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Paul Sweeting
Date Deposited: 08 Apr 2015 12:56 UTC
Last Modified: 16 Nov 2021 10:19 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/47893 (The current URI for this page, for reference purposes)
  • Depositors only (login required):