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CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family
Annals of Actuarial Science Pub Date : 2020-06-22 , DOI: 10.1017/s1748499520000159
Kevin Dowd , Andrew J. G. Cairns , David Blake

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 & Blake [(2014), North American Actuarial Journal, 18, 116–138] 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.

中文翻译:

CBDX:凯恩斯-布莱克-多德家族的主力死亡率模型

本文的目的是确定成人年龄范围(即不包括事故驼峰和年轻年龄)的主力死亡率模型。它应用 Hunt & Blake [(2014), North American Actuarial Journal, 18, 116–138] 的“一般程序” (GP) 来确定一个非常适合数据的年龄阶段模型,然后再添加一个队列效应来捕获原始年龄周期模型中产生的剩余出生年份效应。生成的模型旨在适用于各种人群,但与完全实施 GP 相比,节省了周期效应的数量。我们使用两种不同的迭代最大似然 (ML) 方法来估计模型——一种是 Partial ML,另一种是 Full ML——这避免了指定可识别性约束的需要。
更新日期:2020-06-22
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