Mortality Surface by Means of Continuous Time Cohort Models

Petar Jevtic, Elisa Luciano and Elena Vigna

No 264, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time fac- tor approach. The model allows for imperfect correlation of 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 opti- mization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Cal- ibration confirms that correlation across generations is smaller than one.

Keywords: stochastic mortality; age effect; cohort effect; differential evolution algorithm; mortality forecasting. (search for similar items in EconPapers)
JEL-codes: C1 C13 C38 C53 J11 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2012, Revised 2013
New Economics Papers: this item is included in nep-dem and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Journal Article: Mortality surface by means of continuous time cohort models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:264

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