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The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts

Author

Listed:
  • Kevin Dowd

    (Durham University Business School, Millhill Lane, Durham DH1 3LB, UK)

  • David Blake

    (Pensions Institute, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ, UK)

  • Andrew J. G. Cairns

    (Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh EH14 4AS, UK)

Abstract

This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model of male mortality that is known to provide a good fit to UK mortality data. The fan charts suggest that there are clear limits to longevity—that future mortality rates are very uncertain and tend to become more uncertain the further ahead the forecast—and that forecasts of future mortality uncertainty must also take account of uncertainty in the parameters of the underlying mortality model.

Suggested Citation

  • Kevin Dowd & David Blake & Andrew J. G. Cairns, 2016. "The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts," Risks, MDPI, vol. 4(3), pages 1-7, July.
    • Handle: RePEc:gam:jrisks:v:4:y:2016:i:3:p:21-:d:73310
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    References listed on IDEAS

    as
    1. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.
    2. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
    3. Blake, David & Dowd, Kevin & Cairns, Andrew J.G., 2008. "Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1062-1066, June.
    4. Kevin Dowd & David Blake & Andrew Cairns, 2010. "Facing up to uncertain life expectancy: The longevity fan charts," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 67-78, February.
    5. Shripad Tuljapurkar & Nan Li & Carl Boe, 2000. "A universal pattern of mortality decline in the G7 countries," Nature, Nature, vol. 405(6788), pages 789-792, June.
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    Cited by:

    1. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    2. repec:gei:journl:v:4:y:2017:i:1:p:75-101 is not listed on IDEAS
    3. Kevin Dowd & David Blake, 2022. "Projecting Mortality Rates to Extreme Old Age with the CBDX Model," Forecasting, MDPI, vol. 4(1), pages 1-11, February.
    4. Luca Regis, 2017. "Special Issue “Actuarial and Financial Risks in Life Insurance, Pensions and Household Finance”," Risks, MDPI, vol. 5(4), pages 1-2, December.
    5. Syed Tehseen Jawaid, Abdul Waheed, 2017. "Uncertainty and Risk Analysis of Pakistan's Regional Trade: Fan Chart Approach," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(1), pages 55-81, March.

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