CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Dowd, K.; Cairns, A.J.G.; Blake, D.

doi:10.1017/s1748499520000159

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Dowd, K.; Cairns, A.J.G.; Blake, D.

Authors

Professor Kevin Dowd kevin.dowd@durham.ac.uk
Professor

A.J.G. Cairns

D. Blake

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.

Citation

Dowd, K., Cairns, A., & Blake, D. (2020). CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family. Annals of Actuarial Science, 14(2), 445-460. https://doi.org/10.1017/s1748499520000159

Journal Article Type	Article
Acceptance Date	Jan 21, 2020
Online Publication Date	Jun 22, 2020
Publication Date	2020-09
Deposit Date	Jan 21, 2020
Publicly Available Date	Jan 22, 2020
Journal	Annals of Actuarial Science
Print ISSN	1748-4995
Electronic ISSN	1748-5002
Publisher	Cambridge University Press
Peer Reviewed	Peer Reviewed
Volume	14
Issue	2
Pages	445-460
DOI	https://doi.org/10.1017/s1748499520000159
Public URL	https://durham-repository.worktribe.com/output/1279153

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http://creativecommons.org/licenses/by-nc-nd/4.0/

Copyright Statement
This article has been published in a revised form in Annals of actuarial science https://doi.org/10.1017/S1748499520000159 This version is published under a Creative Commons CC-BY-NC-ND. No commercial re-distribution or re-use allowed. Derivative works cannot be distributed. © Institute and Faculty of Actuaries 2020.