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The cohort effects that never were
Reviewing forecasts
When making projections and forecasts, it can be instructive to compare them with what actually happened. In December 2002 the CMI published projections of mortality improvements that incorporated the so-called "cohort effect" (CMIB, 2002). These projections were in use by life offices and pension schemes in the United Kingdom from 2003 onwards.
Don't cut corners
Demography's dark matter: measuring cohort effects
My last blog generated quite a bit of interest so I thought I'd write again on cohorts. It's easy to (a) demonstrate the existence of a cohort effect and to (b) fit models with cohort terms, but not so easy to (c) interpret or forecast the fitted cohort coefficients. In this blog I'll fit the following three models:
Forecasting with cohorts for a mature closed portfolio
At a previous seminar I discussed forecasting with the age-period-cohort (APC) model:
$$ \log \mu_{i,j} = \alpha_i + \kappa_j + \gamma_{j-i}$$
Order, order!
Mortality improvements can be analysed in a number of ways. A common desire is to want to separate mortality improvements into components for period and cohort. However, this is much trickier than it seems, as we shall show here. In particular, the order in which calculations are performed can be very important.