City Research Online

On the Projection of Mortality Rates to Extreme Old Age

Dowd, K. & Blake, D. ORCID: 0000-0002-2453-2090 (2019). On the Projection of Mortality Rates to Extreme Old Age (PI-1909). London, UK: Pensions Institute.


This article shows how cohort mortality rate projections of mortality models that involve age effects can be improved and extended to extreme old ages. The proposed approach allows insurers to use such mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age mortality rates.

Publication Type: Monograph (Discussion Paper)
Publisher Keywords: mortality rates, Cairns-Blake-Dowd mortality model, CBDX mortality model, Lee-Carter mortality model, projection, extreme old age
Subjects: H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
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