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On the Structure and Classification of Mortality Models

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  • Andrew Hunt
  • David Blake

Abstract

Recently there has been a huge increase in the use of models that examine the structure of mortality rates across the dimensions of age, period and cohort. This article reviews the major developments in the field, provides a holistic analysis of these models, and examines the models’ similarities and differences. Specifically, the article reviews the models that have been proposed to date, investigates the structure of age/period/cohort mortality models, introduces a classification scheme for existing models, and lists the key principles a model user should consider when constructing a new model in this class.

Suggested Citation

  • Andrew Hunt & David Blake, 2021. "On the Structure and Classification of Mortality Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(S1), pages 215-234, February.
    • Handle: RePEc:taf:uaajxx:v:25:y:2021:i:s1:p:s215-s234
    DOI: 10.1080/10920277.2019.1649156
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    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021. "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 200-221.
    3. Jorge Miguel Bravo & Mercedes Ayuso & Robert Holzmann & Edward Palmer, 2021. "Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age," CESifo Working Paper Series 9408, CESifo.
    4. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.
    5. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.

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