Mortality density forecasts: An analysis of six stochastic mortality models
Andrew J.G. Cairns,
David Blake (),
Guy D. Coughlan,
David Epstein and
Insurance: Mathematics and Economics, 2011, vol. 48, issue 3, 355-367
This paper develops a framework for developing forecasts of future mortality rates. We discuss the suitability of six stochastic mortality models for forecasting future mortality and estimating the density of mortality rates at different ages. In particular, the models are assessed individually with reference to the following qualitative criteria that focus on the plausibility of their forecasts: biological reasonableness; the plausibility of predicted levels of uncertainty in forecasts at different ages; and the robustness of the forecasts relative to the sample period used to fit the model. An important, though unsurprising, conclusion is that a good fit to historical data does not guarantee sensible forecasts. We also discuss the issue of model risk, common to many modelling situations in demography and elsewhere. We find that even for those models satisfying our qualitative criteria, there are significant differences among central forecasts of mortality rates at different ages and among the distributions surrounding those central forecasts.
Keywords: Plausibility; Fan; charts; Model; risk; Forecasting; Model; selection; criteria (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367
Access Statistics for this article
Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu
More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().