Jevtić, Petar; Luciano, Elisa; Vigna, Elena - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 122-133
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...