Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts

36 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: June 2008

Abstract

This article uses longevity fan charts to represent the uncertainty in projections of future life expectancy. These fan charts are based on a mortality model calibrated on mortality data for English and Welsh males. The fan charts indicate strong upward sloping trends in future life expectancy. Their widths indicate the extent of uncertainty in these projections, and this uncertainty increases as the forecast horizon lengthens. Allowing for uncertainty in the parameter values of the model adds further to uncertainty in life expectancy. The article also illustrates how longevity fan charts can be used to stress-test longevity outcomes.

Suggested Citation

Dowd, Kevin and Blake, David P. and Cairns, Andrew J. G., Facing Up to Uncertain Life Expectancy: The Longevity Fan Charts (June 2008). Available at SSRN: https://ssrn.com/abstract=1340382 or http://dx.doi.org/10.2139/ssrn.1340382

Kevin Dowd (Contact Author)

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

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

Edinburgh, Scotland EH14 4AS
United Kingdom

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