Error Models for Official Mortality Forecasts

Abstract The Office of the Actuary, U.S. Social Security Administration, produces alternative forecasts of mortality to reflect uncertainty about the future. Appropriate probabilistic interpretations of the intervals have not been provided, however, because explicit stochastic models are not used. In this article we identify the components and assumptions of the official forecasts and approximate them by stochastic parametric models. We estimate parameters of the models from past data, derive statistical intervals for the forecasts, and compare them with the official high-low intervals. We use the models to evaluate the forecasts rather than to develop different predictions of the future. Analysis of data from 1972 to 1985 shows that the official intervals for mortality forecasts for males or females aged 45–70 have approximately a 95% chance of including the true mortality rate in any year. For other ages the chances are much less than 95%. The Office of the Actuary's interval estimates of age- and cause-specific mortality for males and females have no consistent probabilistic interpretation. The ranges are too large for some diseases and too small for others.