 Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortalityJohnny Siu-Hang Li and Wai-Sum Chan Insurance: Mathematics and Economics, 2011, vol. 49, issue 1, 81-88 Abstract: Conventionally, isolated (point-wise) prediction intervals are used to quantify the uncertainty in future mortality rates and other demographic quantities such as life expectancy. A pointwise interval reflects uncertainty in a variable at a single time point, but it does not account for any dynamic property of the time-series. As a result, in situations when the path or trajectory of future mortality rates is important, a band of pointwise intervals might lead to an invalid inference. To improve the communication of uncertainty, a simultaneous prediction band can be used. The primary objective of this paper is to demonstrate how simultaneous prediction bands can be created for prevalent stochastic models, including the Cairns-Blake-Dowd and Lee-Carter models. The illustrations in this paper are based on mortality data from the general population of England and Wales. Keywords: Bayesian; methods; Longevity; risk; The; Cairns-Blake-Dowd; model; The; Lee-Carter; model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:1:p:81-88 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 |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.