Researchers can rely either on retrospectively reported or on prospectively measured health changes to identify and quantify recent changes in respondents' health status. The two methods typically do not provide the same answers. We compare the validity of prospective versus retrospective measures of health changes by investigating their predictive power for subsequent mortality. Data from a cohort study conducted in the Netherlands are used to compare the ability of changes in self-assessed health (SAH) - either reported retrospectively or measured prospectively in three waves (1991, 1993 and 1995) - to predict survival until 2004. We examine the relationship between health changes and mortality with a proportional hazard models controlling for individual unobserved heterogeneity, with and without control for pre-existing chronic conditions and the onset of new chronic diseases. For a high proportion of reports (39.8%), prospectively measured health changes in SAH do not concur with retrospectively reported health changes. Our results show that both measures of health changes are predictive of mortality in the model controlling for levels of SAH and socioeconomic characteristics only. Controlling for SAH, prior presence of chronic conditions, the onset of new conditions and unobserved characteristics, we find that prospectively reported health changes still predict longevity, whereas retrospective changes do not. These results suggest that the collection of longitudinal information on health changes has advantages over the - easier and cheaper - option of retrospective collection of the same information.