Mortality surface by means of continuous time cohort models

Petar Jevtić, Elisa Luciano, Elena Vigna

Research output: Contribution to journalArticle

10 Scopus citations

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

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Keywords

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

ASJC Scopus subject areas

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

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