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CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family

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  • Dowd, Kevin
  • Cairns, Andrew J. G.
  • Blake, David

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.

Suggested Citation

  • Dowd, Kevin & Cairns, Andrew J. G. & Blake, David, 2020. "CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family," Annals of Actuarial Science, Cambridge University Press, vol. 14(2), pages 445-460, September.
    • Handle: RePEc:cup:anacsi:v:14:y:2020:i:2:p:445-460_10
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    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
    3. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    4. Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge, 2022. "Mortality modeling and regression with matrix distributions," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 68-87.
    5. Redondo Lourés, Cristian & Cairns, Andrew J.G., 2021. "Cause of death specific cohort effects in U.S. mortality," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 190-199.

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