We consider the problem of finding a suitable cohort-based model to capture the characteristics of a mortality surface with a parsimonious, continuous-time factor model. 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 optimization algorithm proves to be outstanding and to yield robust and stable parameters. Both in-sample and out-of-sample, deterministic as well as stochastic forecasts are examined. Calibration confirms that correlation across generations is smaller than one.

Mortality Surface by Means of Continuous Time Cohort Models

LUCIANO, Elisa;VIGNA, Elena
2013

Abstract

We consider the problem of finding a suitable cohort-based model to capture the characteristics of a mortality surface with a parsimonious, continuous-time factor model. 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 optimization algorithm proves to be outstanding and to yield robust and stable parameters. Both in-sample and out-of-sample, deterministic as well as stochastic forecasts are examined. Calibration confirms that correlation across generations is smaller than one.
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Stochastic mortality; age effect; cohort effect; differential evolution algorithm; mortality forecasting.
P. Jevtić; E. Luciano; E. Vigna
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/122910
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