CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family. (22nd September 2020)

• Record Type: Journal Article
• Authors: Dowd, Kevin; Cairns, Andrew J. G.; Blake, David
• Is Part Of: Annals of actuarial science. Volume 14:Number 2(2020)
• Page Start: 445
• Page End: 460
• Publication Date: 2020-09-22
• Subjects: Mortality rates, -- Cairns–Blake–Dowd mortality model, -- CBDX mortality model; G22, -- G23, -- J11; Actuarial science -- Periodicals; Insurance, Life -- Periodicals; 368.010941
• DOI: 10.1017/S1748499520000159
• Languages: English
• ISSNs: 1748-4995

Abstract

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.