Anmerkungen:
In: Forecasting 2022, 4, 208–2018
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2, 2022 erstellt
Beschreibung:
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