Impact of COVID-19 on best estimate mortality assumptions
Adjustment of COVID-19 mortality data points & impact on the calibration of mortality models
Following the COVID-19 pandemic that killed more than 7 million people worldwide, the mortality data relative to the years 2020 to 2022 is not directly usable for updating the calibration of stochastic mortality models or Solvency II internal model calibrations for mortality and longevity risks.
In this paper, several approaches are presented to adjust COVID-19 mortality data points prior to the calibration of mortality models and their impact on mortality projections and shocks is then discussed.
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About the Author(s)
Flora Auter
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Impact of COVID-19 on best estimate mortality assumptions
Using mortality data adjustment methods for COVID-19 helps avoid double counting and derives long-term trends without instabilities from a one-off experience.