Discussion Paper WP1909

Abstract
This article shows how cohort mortality rate projections of mortality models that involve age effects can be improved and extended to extreme old ages.  The proposed approach allows insurers to use such mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age mortality rates.
Keywords:
mortality rates, Cairns-Blake-Dowd mortality model, CBDX mortality model, Lee-Carter mortality model, projection, extreme old age.

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