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Mortality Surface by Means of Continuous Time Cohort Models

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  • Petar Jevtic
  • Elisa Luciano
  • Elena Vigna

Abstract

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time fac- tor approach. 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 opti- mization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Cal- ibration confirms that correlation across generations is smaller than one.

Suggested Citation

  • Petar Jevtic & Elisa Luciano & Elena Vigna, 2012. "Mortality Surface by Means of Continuous Time Cohort Models," Carlo Alberto Notebooks 264, Collegio Carlo Alberto, revised 2013.
  • Handle: RePEc:cca:wpaper:264
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    References listed on IDEAS

    as
    1. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Anastasia Novokreshchenova, 2016. "Predicting Human Mortality: Quantitative Evaluation of Four Stochastic Models," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-28, December.
    2. Peter Jevtic & Luca Regis, 2016. "A continuous-time stochastic model for the mortality surface of multiple populations," Working Papers 03/2016, IMT Institute for Advanced Studies Lucca, revised Jul 2016.
    3. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
    4. Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
    5. Luca Regis, 2014. "Demographic uncertainty, the financing mix and the sustainability of welfare systems," Working Papers SWITCH 02-2014, Competitività, Regole, Mercati (CERM).
    6. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
    7. repec:eee:insuma:v:77:y:2017:i:c:p:97-110 is not listed on IDEAS

    More about this item

    Keywords

    stochastic mortality; age effect; cohort effect; differential evolution algorithm; mortality forecasting.;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts

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