Mortality Surface by Means of Continuous Time Cohort Models

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.