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The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19.
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- Author(s): Schnürch, Simon1,2 (AUTHOR) ; Kleinow, Torsten3 (AUTHOR); Korn, Ralf1,2 (AUTHOR); Wagner, Andreas1,4 (AUTHOR)
- Source:
Annals of Actuarial Science. Nov2022, Vol. 16 Issue 3, p498-526. 29p.- Subject Terms:
- Source:
- Additional Information
- Abstract: The COVID-19 pandemic interrupts the relatively steady trend of improving longevity observed in many countries over the last decades. We claim that this needs to be addressed explicitly in many mortality modelling applications, for example, in the life insurance industry. To support this position, we provide a descriptive analysis of the mortality development of several countries up to and including the year 2020. Furthermore, we perform an empirical and theoretical investigation of the impact a mortality jump has on the parameters, forecasts and implied present values of the popular Lee–Carter mortality model. We find that COVID-19 has resulted in substantial mortality shocks in many countries. We show that such shocks have a large impact on point and interval forecasts of death rates and, consequently, on the valuation of mortality-related insurance products. We obtain similar findings under the Cairns–Blake–Dowd mortality model, which demonstrates that the effects caused by COVID-19 show up in a variety of models. Finally, we provide an overview of approaches to handle extreme mortality events such as the COVID-19 pandemic in mortality modelling. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Annals of Actuarial Science is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Abstract:
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