Rethinking Age-Period-Cohort Mortality Trend Models
Longevity risk arising from uncertain mortality improvement is one of the major risks facing annuity providers and pension funds. In this paper we show how applying trend models from non-life claims reserving to age-period-cohort mortality trends provides new insight in estimating mortality improvement and quantifying its uncertainty.
Age, period, and cohort trends are modelled with distinct effects for each age, calendar year, and birth year in a generalized linear models framework. The effects are distinct in the sense that they are not conjoined with age coefficients, borrowing from regression terminology, we denote them as main effects.