Discussion Paper 2204

Projecting Mortality Rates to Extreme Old Age with the CBDX Model

Kevin Dowd and David Blake

Abstract
We introduce a simple extension to the CBDX model to project cohort mortality rates to extreme old age. The proposed approach fits a polynomial to a sample of age effects, uses the fitted polynomial to project the age effects to ages beyond the sample age range, then splices the sample and projected age effects, and uses the spliced age effects to obtain mortality rates for the higher ages. The proposed approach can be used to value financial instruments such as life annuities that depend on projections of extreme old age mortality rates.
Key Words:
mortality rates, Cairns-Blake-Dowd mortality model, CBDX mortality model, projection, extreme old age, life annuities
JEL Classification:
G22, G23, J11

Leave a Reply

Your email address will not be published.