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On the Projection of Mortality Rates to Extreme Old Age

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

Abstract

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: Business School > Finance
Date Deposited: 10 Mar 2020 15:37
URI: https://openaccess.city.ac.uk/id/eprint/23905
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