Journal article
Mortality surface by means of continuous time cohort models
Abstract
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 …
Authors
Jevtić P; Luciano E; Vigna E
Journal
Insurance Mathematics and Economics, Vol. 53, No. 1, pp. 122–133
Publisher
Elsevier
Publication Date
July 2013
DOI
10.1016/j.insmatheco.2013.04.005
ISSN
0167-6687