CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family

Kevin Dowd, Andrew J. G. Cairns and David Blake

Annals of Actuarial Science, 2020, vol. 14, issue 2, 445-460

Abstract: The purpose of this paper is to identify a workhorse mortality model for the adult age range (i.e., excluding the accident hump and younger ages). It applies the “general procedure” (GP) of Hunt & Blake [(2014), North American Actuarial Journal, 18, 116–138] to identify an age-period model that fits the data well before adding in a cohort effect that captures the residual year-of-birth effects arising in the original age-period model. The resulting model is intended to be suitable for a variety of populations, but economises on the number of period effects in comparison with a full implementation of the GP. We estimate the model using two different iterative maximum likelihood (ML) approaches – one Partial ML and the other Full ML – that avoid the need to specify identifiability constraints.

Date: 2020
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