Mortality surface by means of continuous time cohort models

Petar Jevtić, Elisa Luciano and Elena Vigna

Insurance: Mathematics and Economics, 2013, vol. 53, issue 1, 122-133

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.

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)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668713000619
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Mortality Surface by Means of Continuous Time Cohort Models (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:1:p:122-133

DOI: 10.1016/j.insmatheco.2013.04.005

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().