Time series forecasts are easy to make and data are available. They’re like driving while looking in the rear-view mirror. A survey listed 31 forecasting software programs: none actuarial [Yurkewicz]. Actuarial failure forecasts are less biased and are more precise than time series failure forecasts, because actuarial failure forecasts use age-specific failure rates. How much better?
The example in this article shows the 5% to 95% time series confidence interval width is 44.78 vs. the nonparametric actuarial Kaplan-Meier actuarial forecast width of 12.63, from grouped failure data, and actuarial forecast width of 15.45, from ships and returns counts.
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