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Risks 2016, 4(3), 21;

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

Durham University Business School, Millhill Lane, Durham DH1 3LB, UK
Pensions Institute, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ, UK
Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh EH14 4AS, UK
Author to whom correspondence should be addressed.
Academic Editor: Luca Regis
Received: 11 May 2016 / Revised: 31 May 2016 / Accepted: 22 June 2016 / Published: 4 July 2016
Full-Text   |   PDF [1056 KB, uploaded 4 July 2016]   |  


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. View Full-Text
Keywords: mortality; fan charts; longevity risk; parameter risk mortality; fan charts; longevity risk; parameter risk

Figure 1

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Dowd, K.; Blake, D.; Cairns, A.J.G. The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. Risks 2016, 4, 21.

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