CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family

Pensions Institute Discussion Paper, PI-2002, January 2020

21 Pages Posted: 16 Mar 2020

See all articles by Kevin Dowd

Kevin Dowd

City University London - Sir John Cass Business School

Andrew Cairns

affiliation not provided to SSRN

David P. Blake

City, University of London

Date Written: January 5, 2020

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 and Blake (2014) 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.

Keywords: mortality rates, Cairns-Blake-Dowd mortality model, CBDX mortality model

JEL Classification: G220, G230, J110

Suggested Citation

Dowd, Kevin and Cairns, Andrew and Blake, David P., CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family (January 5, 2020). Pensions Institute Discussion Paper, PI-2002, January 2020, Available at SSRN: https://ssrn.com/abstract=3552249 or http://dx.doi.org/10.2139/ssrn.3552249

Kevin Dowd (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Andrew Cairns

affiliation not provided to SSRN

David P. Blake

City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZX
Great Britain
+44 (0) 20-7040-8600 (Phone)
+44 (0) 20-7040-8881 (Fax)

HOME PAGE: http://www.pensions-institute.org/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
17
Abstract Views
175
PlumX Metrics