System and method for quantifying prediction uncertainty

A method for generating a confidence interval for a risk score using a risk analysis system, comprising:

• receiving a plurality of features obtained about a subject;
• analyzing the received plurality of features using a plurality of different risk prediction models, wherein each of the plurality of different risk prediction models generates a health risk score for the subject;
• determining, using a distillation model, an estimated mean and variance among the generated health risk scores for the subject;
• generating, from the determined estimated mean and variance, a single health risk score and a risk score confidence interval for the subject;
• determining, based on a predetermined feature impact score for each different type of feature, an effect of one or more missing or defective features on the generated risk score confidence interval, wherein the system identifies a missing or defective feature for reporting if the missing or defective feature would narrow the generated risk score confidence interval if it were not missing or not defective;
• generating a report comprising the single health risk score and the risk score confidence interval for the subject, and further comprising at least one or more of the missing or defective features identified for reporting;
• and
• providing the report.