DISCUSSION PAPER PI-0704
The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts
Kevin Dowd, David Blake, and Andrew J. G. Cairns
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.
Key words: mortality, fan charts, longevity risk, parameter risk
