A Framework for Forecasting Mortality Rates with an Application to Six Stochastic Mortality Models

Andrew J.G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, and Marwa Khalaf-Allah

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 partic-
ular, 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 be-
tween both central forecasts of mortality rates at different ages and the distributions
surrounding those central forecasts.

Keywords: Plausibility, fan charts, model risk, forecasting, model selection criteria.

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