Assessing the Impact of the COVID-19 Shock on a Stochastic Multi-Population Mortality Model

We aim to assess the impact of a pandemic data point on calibration stochastic multi-population mortality projection model and its resulting projections for future rates. Throughout paper, we put focus Li Lee model, which has become standard projecting in Belgium Netherlands. calibrate this annual death counts exposures at level individual ages. This type are typically collected, produced reported with significant delay of—for some countries—several years platform such as Human Mortality Database. To enable timely evaluation point, have rely other sources (e.g., Short-Term Fluctuations Data series) that swiftly publish weekly collected age buckets. be compliant design strategy transform buckets yearly, age-specific observations. Therefore, our paper constructs protocol ungroup registered evaluate shock, like COVID-19 year 2020, weigh either or step. Obviously, more weight place observe estimated rates life expectancies. Our allows quantifying provides actuaries actuarial associations framework generate scenarios under various assessments point.