Mortality surface by means of continuous time cohort models

Petar Jevtic, Elisa Luciano, Elena Vigna

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period 1900-2008. Calibration by means of stochastic search and the Differential Evolution optimization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Calibration confirms that correlation across generations is smaller than one.

Original languageEnglish (US)
Pages (from-to)122-133
Number of pages12
JournalInsurance: Mathematics and Economics
Volume53
Issue number1
DOIs
StatePublished - Jul 1 2013
Externally publishedYes

Fingerprint

Mortality
Continuous Time
Calibration
Stochastic Search
Differential Evolution Algorithm
Imperfect
Forecast
Optimization Algorithm
Model
Cohort
Continuous time
Factors
Differential evolution

Keywords

  • Age effect
  • Cohort effect
  • Differential Evolution algorithm
  • Mortality forecasting
  • Stochastic mortality

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Economics and Econometrics
  • Statistics and Probability

Cite this

Mortality surface by means of continuous time cohort models. / Jevtic, Petar; Luciano, Elisa; Vigna, Elena.

In: Insurance: Mathematics and Economics, Vol. 53, No. 1, 01.07.2013, p. 122-133.

Research output: Contribution to journalArticle

Jevtic, Petar ; Luciano, Elisa ; Vigna, Elena. / Mortality surface by means of continuous time cohort models. In: Insurance: Mathematics and Economics. 2013 ; Vol. 53, No. 1. pp. 122-133.
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