Mortality surface by means of continuous time cohort models

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the 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 optimization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Calibration confirms that correlation across generations is smaller than one.