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 fac- tor approach. The model allows for imperfect correlation of 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 opti- mization algorithm proves to yield robust and stable parameters. We provide in-sample and out-of-sample, deterministic as well as stochastic forecasts. Cal- ibration confirms that correlation across generations is smaller than one.