A Novel Modification of the Cairns–Blake–Dowd Model: Consideration for Retirement Cohort Trends

Abigail Yeboah Boateng, Akoto Yaw Omari-Sasu and Maxwell Akwasi Boateng

Journal of Probability and Statistics, 2026, vol. 2026, 1-14

Abstract: The study introduces an incremental extension of the Cairns–Blake–Dowd (CBD) 2006 stochastic mortality model by adding a retirement cohort effect to enhance the applicability and prediction ability for actuarial purposes. In actuarial science, the CBD model is widely used for analyzing mortality rate and longevity in life insurance portfolios and pensin schemes. The CBD model is expanded to consider cohort-specific factors that emerge in post-retirement years. Disparities in mortality trends that are connected to past policy issues, health, and socioeconomic factors are captured by the effects. The time indices κ1t and κ2t are modeled as latent stochastic processes evolving via random walks with drift, while the retirement cohort effect is estimated using penalized GAMs. Findings revealed that the addition of the retirement cohort has greatly improved the model’s capacity for analyzing mortality trends, particularly among the elderly population, where cohort effects are prominent. The importance of consequences of pension and longevity risks valuation. This study enhances mortality modeling by addressing cohort-specific effects within a coherent and practical framework.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:5354903

DOI: 10.1155/jpas/5354903

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