摘要：We investigate the uncertainty of forecasts of future mortality generated by a number
of previously proposed stochastic mortality models. We specify fully the stochastic
structure of the models to enable them to generate forecasts. Mortality fan charts
are then used to compare and contrast the models, with the conclusion that model
risk can be signi¯cant.
The models are also assessed individually with reference to three criteria that focus
on the plausibility of their forecasts: biological reasonableness of forecast mortal-
ity term structures; biological reasonableness of individual stochastic components of
the forecasting model (for example, the cohort e®ect); and reasonableness of forecast
levels of uncertainty relative to historical levels of uncertainty. In addition, we con-
sider a fourth assessment criterion dealing with the robustness of forecasts relative
to the sample period used to ¯t the model.
To illustrate the assessment methodology, we analyse a data set consisting of national
population data for England & Wales, for Males aged between 60 and 90 years
old. We note that this particular data set may favour those models designed for
application to older ages, such as variants of Cairns-Blake-Dowd, and emphasise
that a similar analysis should be conducted for the speci¯c data set of interest to
the reader. We draw some conclusions based on the analysis and compare to the
application of the models for the same age group and gender for the United States
population. Finally, we note the broader application of the approach to model
selection for alternate data sets and populations.
关键词：Stochastic mortality model, cohort e®ect, fan charts, model risk, fore-
casting, model selection criteria.
