City Research Online

Modelling and projecting mortality improvement rates using a cohort perspective

Haberman, S. & Renshaw, A. E. (2013). Modelling and projecting mortality improvement rates using a cohort perspective. Insurance: Mathematics and Economics, 53(1), pp. 150-168. doi: 10.1016/j.insmatheco.2013.04.006


We investigate the feasibility of defining, modelling and projecting of (scaled) mortality improvement rates along cohort years-of-birth, that is, using a cohort perspective. This is in contrast to the approach in the literature which has considered mortality improvement rates that are defined by reference to changes in mortality rates over successive calendar years, that is, using a period perspective. In this paper, we offer a comparison of the 2 parallel approaches to modelling and forecasting using mortality improvement rates. Comparisons of simulated life expectancy and annuity value predictions (mainly by the cohort method) using the England & Wales population mortality experiences for males and females under a variety of controlled data trimming exercises are presented and comparisons are also made between the parallel cohort and period based approaches.

Publication Type: Article
Additional Information: © 2013, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
SWORD Depositor:
[thumbnail of IME-D-12-00061R1[1].pdf]
Text - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (1MB) | Preview


Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email


Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login