Abstract
We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period 1900-2008. Calibration by means of stochastic search and the Differential Evolution optimization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Calibration confirms that correlation across generations is smaller than one.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 122-133 |
| Number of pages | 12 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 53 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jul 2013 |
| Externally published | Yes |
Keywords
- Age effect
- Cohort effect
- Differential Evolution algorithm
- Mortality forecasting
- Stochastic mortality
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty
Fingerprint
Dive into the research topics of 'Mortality surface by means of continuous time cohort models'. Together they form a unique fingerprint.Cite this
- APA
- Standard
- Harvard
- Vancouver
- Author
- BIBTEX
- RIS