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Projecting Mortality Rates to Extreme Old Age with the CBDX Model

Dowd, K. & Blake, D. ORCID: 0000-0002-2453-2090 (2022). Projecting Mortality Rates to Extreme Old Age with the CBDX Model. Forecasting, 4(1), pp. 208-218. doi: 10.3390/forecast4010012

Abstract

We introduce a simple extension to the CBDX model to project cohort mortality rates to extreme old age. The proposed approach fits a polynomial to a sample of age effects, uses the fitted polynomial to project the age effects to ages beyond the sample age range, then splices the sample and projected age effects, and uses the spliced age effects to obtain mortality rates for the higher ages. The proposed approach can be used to value financial instruments such as life annuities that depend on projections of extreme old age mortality rates.

Publication Type: Article
Additional Information: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Publisher Keywords: mortality rates; Cairns–Blake–Dowd mortality model; CBDX mortality model; projection; extreme old age; life annuities; JEL Classification: G22; G23; J11
Subjects: G Geography. Anthropology. Recreation > GF Human ecology. Anthropogeography
H Social Sciences > HG Finance
H Social Sciences > HM Sociology
R Medicine > RA Public aspects of medicine > RA0421 Public health. Hygiene. Preventive Medicine
Departments: Bayes Business School > Finance
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