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

16 Pages Posted: 11 Feb 2009

See all articles by Kevin Dowd

Kevin Dowd

Nottingham University Business School (NUBS)

David P. Blake

City University London - Cass Business School

Andrew J. G. Cairns

Heriot-Watt University - Department of Actuarial Science & Statistics

Date Written: November 2007

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 recent 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 take account of uncertainty in the parameters of the underlying mortality model.

Keywords: mortality, fan charts, longevity risk, parameter risk

Suggested Citation

Dowd, Kevin and Blake, David P. and Cairns, Andrew J. G., The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts (November 2007). Available at SSRN: https://ssrn.com/abstract=1340361 or http://dx.doi.org/10.2139/ssrn.1340361

Kevin Dowd

Nottingham University Business School (NUBS) ( email )

Jubilee Campus
Wollaton Road
Nottingham, NG8 1BB
United Kingdom

David P. Blake

City University London - Cass Business School ( email )

London, EC2Y 8HB
Great Britain
+44 (0) 20-7040-5143 (Phone)
+44 (0) 20-7040-8881 (Fax)

Andrew J. G. Cairns (Contact Author)

Heriot-Watt University - Department of Actuarial Science & Statistics ( email )

Edinburgh, Scotland EH14 4AS
United Kingdom

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